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Contagio financiero entre economías: un análisis exploratorio a través de la econometría. Caso Colombia - Estados Unidos

Listed author(s):
  • Luís Ángel Meneses Cerón

    ()

  • Ronald Alejandro Macuacé Otero

    ()

Registered author(s):

    El artículo, estudia las relaciones de dependencia entre los mercados financieros internacionales, indagando sobre el efecto del contagio financiero entre dos series de retornos de índices accionarios: el Dow Jones (DJ) y el índice general de la Bolsa de Valores de Colombia (IGBC). Lo anterior, gracias a que Estados Unidos es el principal país con el que Colombia mantiene un fuerte nexo comercial y económico. Se hará uso de información histórica de carácter público, comprendida entre enero 1 de 2007 y diciembre 31 de 2010, proveniente de fuentes objetivas y reconocidas en el mercado. Se desarrollará un ejercicio de tipo econométrico, en el cual se establece el nivel de relacionamiento existente entre los dos índices mencionados. El principal aporte de este trabajo es la implementación de la econometría como técnica para el análisis del contagio, que permite inferir las relaciones de causalidad entre los mercados y determinar modelos de predicción robustos que generan un mayor acervo informativo e interpretativo sobre la dinámica implícita en los retornos de los diferentes activos financieros.******This paper studies the relationships of dependence between financial markets, particularly the investigation of the effect of financial contagion between two sets of returns of stock indices: Dow Jones (DJ) and the General Index of the Stock Exchange of Colombia (IGBC), being the United States, the leading country with which Colombia has a strong business relationship and economic. It will make use of historical information of a public nature, between January 1, 2007 and December 31, 2010, from objective sources and recognized in the market. They develop an econometric exercise type, which sets the level of relationship between the two indices mentioned The main contribution of this work is the implementation of econometrics as a technique for the analysis of contagion, which, we infer relations causality between markets and identify robust predictive models that generate a larger pool and interpretive information about the underlying dynamics in the returns of different financial assets.

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    File URL: http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/461/458
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    Article provided by UNIVERSIDAD CATOLICA DE COLOMBIA in its journal REVISTA FINANZAS Y POLÍTICA ECONÓMICA.

    Volume (Year): 4 (2012)
    Issue (Month): 2 (December)
    Pages: 51-62

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    Handle: RePEc:col:000443:010698
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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
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