IDEAS home Printed from https://ideas.repec.org/a/bdr/ensayo/v32y2014i75p28-40.html
   My bibliography  Save this article

Las entidades financieras a lo largo del ciclo de negocios: ¿está el ciclo financiero sincronizado con el ciclo de negocios?

Author

Listed:
  • Fernando Arias Rodríguez

    () (Banco de la Republica de Colombia)

  • Celina Gaitán Maldonado

    () (Banco de la Republica de Colombia)

  • Johanna López Velandia

    () (Banco de la Republica de Colombia)

Abstract

A partir de estados financieros de bancos y entidades asociadas se propone una cronología del ciclo financiero para Colombia, desde 1990 hasta mediados del año 2013, y se evalúa su interacción con el ciclo de negocios propuesto por Alfonso, Arango, Arias, Cangrejo y Pulido (2012). Se usan 2 acercamientos: el primero basado en reglas (Bry y Boschan, 1971, e índices de difusión) y el segundo fundamentado en la información contenida en los datos (Novelty Detection). Se encuentra evidencia que apoya la idea de una sincronización entre el ciclo financiero y el de negocios, aunque las cronologías y demás características de cada uno dependen directamente de la definición y del enfoque del ciclo que se adopten.

Suggested Citation

  • Fernando Arias Rodríguez & Celina Gaitán Maldonado & Johanna López Velandia, 2014. "Las entidades financieras a lo largo del ciclo de negocios: ¿está el ciclo financiero sincronizado con el ciclo de negocios?," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(75), pages 28-40, December.
  • Handle: RePEc:bdr:ensayo:v:32:y:2014:i:75:p:28-40
    as

    Download full text from publisher

    File URL: http://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/6513/?sequence=1
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Moen, Jon R. & Tallman, Ellis W., 2000. "Clearinghouse Membership and Deposit Contraction during the Panic of 1907," The Journal of Economic History, Cambridge University Press, vol. 60(01), pages 145-163, March.
    2. Nason, James M. & Tallman, Ellis W., 2015. "Business Cycles And Financial Crises: The Roles Of Credit Supply And Demand Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 19(04), pages 836-882, June.
    3. Dairo Estrada & Miguel Ángel Morales Mosquera, 2009. "Indice de Estabilidad Financiera para Colombia," Temas de Estabilidad Financiera 038, Banco de la Republica de Colombia.
    4. Viviana Alejandra Alfonso & Luis Eduardo Arango & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 651, Banco de la Republica de Colombia.
    5. Avouyi-Dovi, S. & Matheron, J., 2003. "Interactions between business cycles, stock market cycles and interest rates: the stylised facts," Financial Stability Review, Banque de France, issue 3, pages 80-99, November.
    6. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," Working Paper 2014/09, Norges Bank.
    7. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    8. José Eduardo Gómez & Jair Ojeda Joya & Fernando Tenjo Galarza & Héctor Manuel Zárate Solano, 2013. "The Interdependence between Credit and Real Business Cycles in Latin American Economies," BORRADORES DE ECONOMIA 010833, BANCO DE LA REPÚBLICA.
    9. Alfonso, Viviana & Arango, Luis Eduardo & Arias, Fernando & Cangrejo, Guillermo & Pulido, José David, 2012. "Ciclos de negocios en Colombia, 1975-2011," Revista Lecturas de Economía, Universidad de Antioquia - CIE, issue 78, pages 115-149, May.
    10. Javier Gutiérrez Rueda & Agustín Saade Ospina, 2009. "Ciclos del Riesgo de Crédito," Temas de Estabilidad Financiera 043, Banco de la Republica de Colombia.
    11. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, August.
    12. Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
    13. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters,in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1 National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mercè Sala-Rios & Teresa Torres-Solé & Mariona Farré-Perdiguer, 2016. "Credit and business cycles’ relationship: evidence from Spain," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(3), pages 149-171, December.
    2. Jorge Mario Uribe & Inés María Ulloa & Johanna Perea, 2015. "Reference financial cycle in Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 83, pages 33-62, Julio - D.

    More about this item

    Keywords

    Ciclo de negocios; Ciclos financieros; Bry-Boschan; Novelty detection; Indicadores financieros;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

    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:bdr:ensayo:v:32:y:2014:i:75:p:28-40. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera). General contact details of provider: http://edirc.repec.org/data/brcgvco.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.