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Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR

Listed author(s):
  • Wilmar Alexander Cabrera Rodríguez

    ()

  • Luis Fernando Melo Velandia

    ()

  • Daniel Parra Amado

    ()

Este documento estima los efectos de choques de origen financiero y real sobre un conjunto de variables de la economía colombiana. Para ello, se utiliza un modelo FAVAR que incorpora dos factores no observados, los cuales recogen la dinámica de 111 variables de la economía colombiana entre el primer trimestre de 2003 y el primer trimestre de 2013. El modelo FAVAR desarrollado en este trabajo corresponde a una extensión del modelo propuesto por Bernanke et al. [2005], que supone que las series, además de ser explicadas por el componente común, también son modeladas por un componente idiosincrático. Con dicha estimación se realizan dos ejercicios: (i) Análisis de impulso respuesta de las variables económicas frente a choques en los factores real y financiero y (ii) cuantificar el efecto que tiene un evento de estrés en el sector financiero sobre el sector real y viceversa; para ello se propone el CoFaR, medida alterna al CoVaR que recientemente ha sido utilizada en la literatura económica (Adrian y Brunnermeier [2011]). Los resultados obtenidos sugieren que los estrechos vínculos entre los dos sectores propagan los choques en ambas direcciones. En particular, el sector financiero reacciona de manera más rápida ante un choque en la actividad real, en comparación con el efecto de un choque financiero al sector real.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 810.

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Date of creation: Feb 2014
Handle: RePEc:bdr:borrec:810
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