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Construcción de un "Ïndice de Percepción de Riesgo" de los Mercados Financieros Globales

  • Luis Fernando Melo Velandia

    ()

  • Juan Mauricio ramírez

    ()

  • Mario Andrés Ramos

    ()

En este documento se construye un Indice de Percepción de Riesgo de los inversionistas institucionales en los mercados industrializados. Este índice se estima con base en un modelo de análisis factorial dinámico, que explora las tendencias comunes de las volatilidades de los retornos de una canasta de bonos, acciones y monedas de economías desarrolladas para el periodo comprendido entre enero de 1990 y marzo de 2005. Se encuentra que en la mayoría de episodios críticos el índice aumenta, reflejando un incremento en el riesgo percibido por los inversionistas. Adicionalmente, se encuentra que muchos de los deterioros fuertes del riesgo país (medidos por incrementos en el EMBI+) están asociados con aumentos en este índice. La explicación es que la percepción de riesgo afecta las decisiones de inversión de los inversionistas institucionales en bonos de países emergentes y en general en activos riesgosos.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 344.

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