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Mercado de bonos soberanos y estabilidad financiera : una aplicación de gráficos acíclicos direccionados (GAD) y modelos SVAR

In: Política monetaria y estabilidad financiera en economías pequeñas y abiertas

Author

Listed:
  • Ramos-Forero, Jorge Enrique
  • Melo-Becerra, Ligia Alba
  • Zárate-Solano, Hector Manuel

Abstract

Durante las dos últimas décadas, los mercados de deuda pública se han desarrollado significativamente en las economías emergentes. A pesar de las ventajas que el desarrollo de este mercado tiene sobre el sector financiero, la volatilidad en el precio de los bonos soberanos conlleva riesgos potenciales para la rentabilidad y la estabilidad financiera. Este trabajo utiliza Gráficos Acíclicos Direccionados y modelos SVAR para evaluar el impacto de diversos choques sobre la pendiente de la curva de rendimiento, y sobre la rentabilidad y estabilidad del sistema bancario.

Suggested Citation

  • Ramos-Forero, Jorge Enrique & Melo-Becerra, Ligia Alba & Zárate-Solano, Hector Manuel, 2015. "Mercado de bonos soberanos y estabilidad financiera : una aplicación de gráficos acíclicos direccionados (GAD) y modelos SVAR," Chapters, in: Gómez-González, José Eduardo & Ojeda-Joya, Jair N. (ed.), Política monetaria y estabilidad financiera en economías pequeñas y abiertas, chapter 14, pages 443-463, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:bdrcap:2015-11-443-463
    DOI: 10.32468/Ebook.664-314-6
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    1. Lozano-Espitia, Luis Ignacio & Melo-Becerra, Ligia Alba & Ramos-Forero, Jorge Enrique, 2013. "Flujos de capitales y política fiscal en las economías emergentes de América Latina," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 13, pages 533-563, Banco de la Republica de Colombia.
    2. Juan Manuel Julio & Ignacio Lozano & Ligia Alba Melo, 2012. "Quiebre estructural de la relación entre la política fiscal y el riesgo soberano en las economías emergentes: el caso colombiano," Borradores de Economia 693, Banco de la Republica de Colombia.
    3. Luis Fernando Melo & Joan Camilo Granados, 2011. "Regulación y valor en riesgo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(64), pages 110-177, July.
    4. Mr. Udaibir S Das & Jay Surti & Mr. Faisal Ahmed & Mr. Michael G. Papaioannou & Mr. Guilherme Pedras, 2010. "Managing Public Debt and Its Financial Stability Implications," IMF Working Papers 2010/280, International Monetary Fund.
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    More about this item

    Keywords

    Crédito; Deuda; Finanzas; Títulos valores; Colombia; Credit; Debt; Finances; Securities; Colombia;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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