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Determinantes macro y microeconómicos para pruebas de tensión de riesgo de crédito: un estudio comparativo entre Ecuador y Colombia basado en la tasa de morosidad

Author

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  • Adriana Uquillas

    () (Escuela Politécnica Nacional, Facultad de Ciencias, Departamento de Matemáticas, Quito, Ecuador)

  • Carlos González

Abstract

Se obtiene el impacto de los determinantes de la tasa de morosidad de Ecuador y Colombia, para aplicarlos a pruebas de tensión. Los modelos estimados ARIMAX sugieren que en Ecuador los shocks se transmiten con rapidez. La morosidad de ambos países es sensible negativamente a la liquidez (factor más importante) y a la tasa de intermediación, pero sus impactos y la rapidez de transmisión son diferentes. El precio del petróleo, volumen de crédito y actividad económica son determinantes relevantes para Ecuador. En Colombia, el shock bursátil es negativo e inmediato, los shocks de importaciones se transmiten a corto y mediano plazo. Los impactos de la producción manufacturera son más tardíos. Esta es la primera investigación empírica que compara, entre ambos países, el impacto de cada factor en la morosidad. Los modelos contribuyen para plantear políticas económicas y de gestión que produzcan impactos en el desempeño de la morosidad.

Suggested Citation

  • Adriana Uquillas & Carlos González, 2017. "Determinantes macro y microeconómicos para pruebas de tensión de riesgo de crédito: un estudio comparativo entre Ecuador y Colombia basado en la tasa de morosidad," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(84), pages 245-259, December.
  • Handle: RePEc:bdr:ensayo:v:35:y:2017:i:84:p:245-259
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    Keywords

    Pruebas de tensión; Crisis financiera; Series temporales; Función de transferencia; Riesgo crediticio; Control de riesgo;

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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