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Índice de Desbalance Macroeconómico

  • Carolina Arteaga cabrales

    ()

  • Carlos Huertas Campos

    ()

  • Sergio Olarte Armenta

    ()

La reciente crisis financiera internacional volvió a dar relevancia a la formación de ciertos desbalances macroeconómicos que pueden aumentar las vulnerabilidades de una economía frente a choques adversos. En el caso de las economías emergentes, flujos elevados de capital podrían exacerbar estos desequilibrios e intensificar sus efectos negativos. Así, este trabajo se enfoca en cuatro variables que la literatura económica ha identificado como generadoras de señales en la formación de desbalances macroeconómicos: la cuenta corriente, la tasa de cambio real, el crédito y los precios de la vivienda. Para cada una de ellas se calcularon desviaciones sobre sus medidas de largo plazo y a partir de su componente principal se construyó un Índice de Desbalance Macroeconómico (IDM). El IDM para Colombia, al igual que un índice similar para 10 países, mostró que en 21 episodios de crisis estudiados, se presentaron desbalances macroeconómicos y se observó una relación positiva entre el nivel acumulado del IDM y la probabilidad de crisis a un año.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 744.

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Length: 33
Date of creation: Oct 2012
Date of revision:
Handle: RePEc:bdr:borrec:744
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