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Indicadores de alerta temprana para el sector corporativo privado colombiano

Author

Listed:
  • María Fernanda Meneses-González

    (Banco de la República de Colombia)

  • Javier Eliecer Pirateque-Niño

    (Banco de la República de Colombia)

  • Santiago David Segovia-Baquero

    (Banco de la República de Colombia)

Abstract

Este documento valida la utilidad de algunas variables financieras en la identificación temprana de acumulación de vulnerabilidades para el sector corporativo privado en Colombia. Para esto, se estudia la evolución de varios indicadores para firmas que han entrado en distress financiero. Adicionalmente, se valida la capacidad predictiva de los indicadores in-sample y out-of-sample. Los resultados sugieren que la razón de endeudamiento y una medida de debt-to-cashflow son las que mejor información proveen. Asimismo, se encuentra que la desagregación de las firmas por sector económico y el uso de medidas conjuntas aumentan la capacidad de identificación de situaciones de vulnerabilidad en este sector. **** ABSTRACT: This paper assesses the usefulness of some financial variables in predicting episodes of vulnerability for the private corporate sector in Colombia. We analyse the evolution of several indicators for firms that have experienced episodes of distress. Additionally, we validate the predictive power of our indicators by using in-sample and out-of-sample tests. The results suggest that the ratio of financial obligations to assets, as well as a measure of debt-to-cashflow provide better information. Likewise, we find that classifying the firms by economic sector and the use of several variables at the same time improve the ability to detect changes in the financial health of firms.

Suggested Citation

  • María Fernanda Meneses-González & Javier Eliecer Pirateque-Niño & Santiago David Segovia-Baquero, 2019. "Indicadores de alerta temprana para el sector corporativo privado colombiano," Borradores de Economia 1084, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1084
    DOI: 10.32468/be.1084
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    debt-to-cashflow; alerta temprana; endeudamiento; distress financiero; estabilidad financiera; debt-to-cashflow; early warning; indebtness; financial distress; financial stability.;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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