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Análisis de corto plazo del contagio de variables y noticias financieras en estados unidos y Colombia

Author

Listed:
  • César Augusto Corredor Velandia
  • Stefano Vega Mazzeo

Abstract

Este documento analiza el efecto contagio de las variables bursátiles, monetarias y financieras de Estados Unidos sobre el comportamiento de estas en Colombia a través de pruebas de causalidad de Granger y un modelo de Vectores Autorregresivos (VAR) que nos arroja los impulso-respuesta entre variables y el efecto de noticias financieras. La investigación revela una mayor correlación en las variables bursátiles que en las de renta fija y que los choques de corto plazo son más frecuentes en este mercado. Durante períodos de turbulencia se comprueba el aumento en la volatilidad debido al incremento en el número de noticias, la persistencia de los choques se incrementa, lo que se conoce como histéresis y la anticipación por parte del mercado bursátil colombiano de choques esperados, reflejado en un aumento en las volatilidades de estas antes que en las estadounidenses.

Suggested Citation

  • César Augusto Corredor Velandia & Stefano Vega Mazzeo, 2012. "Análisis de corto plazo del contagio de variables y noticias financieras en estados unidos y Colombia," Revista de Economía del Caribe 10281, Universidad del Norte.
    • Handle: RePEc:col:000382:010281
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    File URL: http://rcientificas.uninorte.edu.co/index.php/economia/article/viewFile/3885/2869
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    References listed on IDEAS

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    1. Le Fort Varela, Guillermo & Budnevich, Carlos, 2005. "Entendiendo las volatilidades cíclicas de la cuenta de capitales y del PIB: un estudio de panel para países latinoamericanos," Macroeconomía del Desarrollo 5408, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    2. Mónica Lylián Parra T., 2001. "Evidencia de contagio en la volatilidad de la tasa de interés en Colombia," Coyuntura Económica, Fedesarrollo, June.
    3. Flood, Eugene, 1985. "Currency Risk and Country Risk in International Banking: Discussion," Journal of Finance, American Finance Association, vol. 40(3), pages 892-893, July.
    4. Marcelo Dabos, 1996. "Crisis Bancaria y Medicion de Riesgo de Default. Metodos y el Caso de los Bancos Cooperativos en Argentina," Working Papers 12, Universidad de San Andres, Departamento de Economia, revised Jul 1996.
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    More about this item

    Keywords

    volatilidad; choques; transmisión financiera; Índices Bursátiles;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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