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A Financial Stress Index for the Costa Rican Economy

Author

Listed:
  • Cristian Álvarez-Corrales

    (Department of Economic Research, Central Bank of Costa Rica)

  • Carlos Mora-Gómez

    (Department of Economic Research, Central Bank of Costa Rica)

Abstract

En este documento se presenta el Índice de Tensión Financiera para Costa Rica. Este es un índice sintético construido utilizando datos semanales de 20 variables del sistema financiero costarricense. El índice se construye por medio del método de componentes principales, donde se supone que la tensión financiera es el principal factor responsable por los comovimientos observados entre estas variables. El índice tiene como objetivo ser una medida contemporánea de la tensión en el sistema financiero y se espera que sea parte de los instrumentos analíticos a disposición de las autoridades económicas con el fin de evaluar la estabilidad del sistema financiero costarricense. El índice construido señala de manera satisfactoria diversos episodios de tensión financiera experimentados en Costa Rica, especialmente, los relacionados con la crisis financiera internacional del año 2008, la crisis de la deuda europea de los años 2010 y 2011, y el período de altas entradas de capitales a finales de 2012.

Suggested Citation

  • Cristian Álvarez-Corrales & Carlos Mora-Gómez, 2014. "A Financial Stress Index for the Costa Rican Economy," Documentos de Trabajo 1406, Banco Central de Costa Rica.
    • Handle: RePEc:apk:doctra:1406
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    File URL: https://repositorioinvestigaciones.bccr.fi.cr/handle/20.500.12506/158
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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G01 - Financial Economics - - General - - - Financial Crises
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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