IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/106552.html
   My bibliography  Save this paper

Análisis de Riesgo Macro-financiero para Venezuela
[Macro-financial risk for Venezuela]

Author

Listed:
  • Moreno, María Antonia
  • Pagliacci, Carolina

Abstract

En este trabajo se analiza el riesgo crediticio de la economía venezolana con base en el enfoque de pasivos contingentes (contingent claim analysis). Esta metodología se orienta a la obtención de indicadores que cuantifican el riesgo de insolvencia de los principales sectores macroeconómicos (sector público, hogares, y bancos), lo que permite realizar una evaluación más precisa y oportuna que la provista por metodologías más convencionales. A nivel de solvencia, el mejor balance patrimonial lo presentan los hogares, siguiéndole en orden los sectores público y financiero. La evolución de los indicadores de riesgo a lo largo del período de estudio (1998-2009) pareciera estar explicada tanto por el entorno macroeconómico, así como por las condiciones específicas de cada sector. El alcance de los resultados está condicionado por las restricciones de información encontradas, en especial, las relacionadas con el valor de mercado del patrimonio de las empresas privadas no financieras y de gran parte del sistema financiero.

Suggested Citation

  • Moreno, María Antonia & Pagliacci, Carolina, 2010. "Análisis de Riesgo Macro-financiero para Venezuela [Macro-financial risk for Venezuela]," MPRA Paper 106552, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:106552
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/106552/1/MPRA_paper_106552.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Olivier Jean Blanchard, 1990. "Suggestions for a New Set of Fiscal Indicators," OECD Economics Department Working Papers 79, OECD Publishing.
    2. Philip Arestis & Gennaro Zezza (ed.), 2007. "Advances in Monetary Policy and Macroeconomics," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-80076-2.
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    4. Carolina Pagliacci & Elizabeth Ochoa, 2007. "Macroeconomic Risk Evaluation of International Reserves in Venezuela," Palgrave Macmillan Books, in: Philip Arestis & Gennaro Zezza (ed.), Advances in Monetary Policy and Macroeconomics, chapter 13, pages 233-256, Palgrave Macmillan.
    5. Mr. Dale F Gray & Mr. James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 2008/089, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Burcu Aydin & Mr. Myeongsuk Kim & Mr. Ho-Seong Moon, 2011. "Financial Linkages Across Korean Banks," IMF Working Papers 2011/201, International Monetary Fund.
    2. Arslanalp, Serkan & Liao, Yin, 2014. "Banking sector contingent liabilities and sovereign risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 316-330.
    3. Mr. Dale F Gray, 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR," IMF Working Papers 2013/218, International Monetary Fund.
    4. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
    5. Marcos Souto & Benjamin M. Tabak & Francisco Vazquez, 2009. "Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks," Working Papers Series 189, Central Bank of Brazil, Research Department.
    6. Tatiana Didier & Sergio L. Schmukler, 2014. "Emerging Issues in Financial Development : Lessons from Latin America," World Bank Publications - Books, The World Bank Group, number 16387, December.
    7. Martín Saldías, 2012. "Systemic risk analysis and option-based theory and information," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    8. Scandizzo, Pasquale & Pagliacci, Carolina, 2010. "Foreign Reserve Management in an Oil Economy: Macroeconomic Risk as a Real Option," MPRA Paper 106539, University Library of Munich, Germany.
    9. Emiliano Delfau, 2019. "Medidas de estabilidad financiera y pruebas de estrés aplicando el modelo de análisis de derechos contingentes en Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 698, Universidad del CEMA.
    10. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
    11. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    12. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
    13. Mariana Laverde & Esteban Gómez & Miguel Ángel Morales Mosquera, 2011. "Measuring Systemic Risk in the Colombian Financial System: Systemic Contingent Claims Approach," Temas de Estabilidad Financiera 060, Banco de la Republica de Colombia.
    14. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    15. International Monetary Fund, 2009. "South Africa: Selected Issues," IMF Staff Country Reports 2009/276, International Monetary Fund.
    16. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "Bank risk behavior and connectedness in EMU countries," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 161-184.
    17. Serkan Arslanalp & Yin Liao, 2013. "Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors," CAMA Working Papers 2013-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Mr. Leonardo Luna & Mr. Dale F Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," IMF Working Papers 2011/228, International Monetary Fund.
    19. International Monetary Fund, 2009. "Cyprus: Financial Sector Assessment Program Update: Technical Note: Measuring Banking Stability in Cyprus," IMF Staff Country Reports 2009/171, International Monetary Fund.
    20. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.

    More about this item

    Keywords

    Contingent Claim Analysis (Método de Pasivos Contingentes); Riesgo Crediticio Macroeconómico; Probabilidad de Default;
    All these keywords.

    JEL classification:

    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:106552. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.