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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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  • Luis Fernando Melo Velandia & Juan Mauricio ramírez & Mario Andrés Ramos, 2005. "Construcción de un "Ïndice de Percepción de Riesgo" de los Mercados Financieros Globales," Borradores de Economia 344, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:344

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    References listed on IDEAS

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    More about this item


    ïndice de Percepción de riesgo; EMB+; análisis factorial dinámico;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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