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Vulnerabilidad financiera: Propuesta para la estimación de un Índice de Condiciones Financieras para Bolivia

Author

Listed:
  • David Esteban Zeballos Coria

    (Banco Central de Bolivia)

Abstract

La importancia del monitoreo de las condiciones financieras cobró mayor relevancia luego de la Crisis Financiera Internacional y, recientemente, debido al impacto económico y financiero que significa la pandemia del COVID-19. Esta importancia surge debido a la estrecha relación que existe entre la actividad real y las vulnerabilidades financieras, entendiéndose estas como la medida en que el impacto adverso de los shocks sobre la actividad económica puede verse amplificado por fricciones financieras. En ese sentido, el objetivo del trabajo es estimar un Índice de Condiciones Financieras (ICF) para Bolivia que pueda resumir la información contenida en distintas variables financieras y que refleje la situación del sistema financiero. Metodológicamente, se utilizó un modelo VAR aumentado por factores siguiendo lo planteado por Koop y Korobilis (2014). Los resultados muestran que el ICF estimado resulta ser adecuado para explicar los períodos de mayor endurecimiento de las condiciones financieras en la economía nacional.

Suggested Citation

  • David Esteban Zeballos Coria, 2021. "Vulnerabilidad financiera: Propuesta para la estimación de un Índice de Condiciones Financieras para Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 34(1), pages 9-32, January -.
    • Handle: RePEc:blv:journl:v:34:y:2021:i:1:p:9-32
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    More about this item

    Keywords

    Condiciones financieras; mercados financieros; TVPFAVAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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