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Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers

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  • Luis Fernando Melo
  • Hernán Rincón

    ()

Abstract

La crisis financiera internacional entre 2007 y 2009 causó cambios fuertes en los precios de los activos, el riesgo y el crecimiento de las economías avanzadas. Estas variaciones produjeron grandes movimientos de capitales entre ellas y los países emergentes, que se reflejaron en oscilaciones bruscas en los precios de sus activos y en un reto de manejo para las autoridades. El objetivo de este documento es analizar y cuantificar los efectos de choques externos y anuncios macroeconómicos y de política sobre las tasas de interés, de cambio y el precio de las acciones de las economías más grandes de Latinoamérica, antes y después del anuncio de la quiebra de Lehman Brothers. Para cumplir con este objetivo, se utiliza información diaria de Argentina, Brasil, Chile, Colombia y México entre 2006 y 2011 y un análisis de multiplicadores. Los resultados muestran que los multiplicadores son estadísticamente significativos y relativamente pequeños, por lo general presentan los signos esperados, son heterogéneos en tamaño, signo y varianza a través de los países, en muchos casos responden de manera asimé- trica y su duración es corta. También indican que existe poca asociación entre los precios de los activos externos y los locales, excepto entre los precios de las acciones. Finalmente, se encuentran indicios de que durante la crisis se produjo un cambio estructural en el comportamiento de los mercados internacionales de capitales.

Suggested Citation

  • Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, June.
  • Handle: RePEc:bdr:ensayo:v:31:y:2013:i:71:p:1-35
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    References listed on IDEAS

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    Cited by:

    1. Arias, Fernando & Parra-Amado, Daniel & Garrido, Daira, 2013. "¿Responden los diferentes tipos de flujos de capitales a los mismos fundamentos y en el mismo grado? : evidencia reciente para países emergentes," Chapters,in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 2, pages 53-81 Banco de la Republica de Colombia.
    2. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," BORRADORES DE ECONOMIA 014112, BANCO DE LA REPÚBLICA.
    3. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad
      [Spillovers effects on financial markets of Colombia. Identification through h
      ," MPRA Paper 90422, University Library of Munich, Germany.
    4. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura
      [Financial Contagio: A Review Literature]
      ," MPRA Paper 89554, University Library of Munich, Germany.
    5. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH
      [Modeling of the conditional correlation for the Colombian stock market: a DCC applicati
      ," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    6. Fernando Arias & David Delgado & Daniel Parra & Hernán Rincón-Castro, 2016. "Gross Capital Flows and their long-term Determinants for Developing Economies: A Panel Co-integration Approach," Borradores de Economia 932, Banco de la Republica de Colombia.

    More about this item

    Keywords

    Choques externos; “Noticias”; LAC-5; Precios de los activos; Modelo VARX-MGARCH; Análisis de multiplicadores;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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