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Construcci�N De Un �Ndice De Percepci�N De Riesgo De Los Mercados Financieros Globales

Author

Listed:
  • Luis Fernando Melo Velandia
  • Juan Mauricio Ram�rez C.
  • Mario Andr�s Ramos V.

Abstract

En este documento se construye un Indice de Percepci�n de Riesgo de los inversionistas institucionales en los mercados industrializados. Este �ndice se estima con base en un modelo de an�lisis factorial din�mico, que explora las tendencias comunes de las volatilidades de los retornos de una canasta de bonos, acciones y monedas de econom�as desarrolladas para el periodo comprendido entre enero de 1990 y marzo de 2005. Se encuentra que en la mayor�a de episodios cr�ticos el �ndice aumenta, reflejando un incremento en el riesgo percibido por los inversionistas. Adicionalmente, se encuentra que muchos de los deterioros fuertes del riesgo pa�s (medidos por incrementos en el EMBI+) est�n asociados con aumentos en este �ndice. La explicaci�n es que la percepci�n de riesgo afecta las decisiones de inversi�n de los inversionistas institucionales en bonos de pa�ses emergentes y en general en activos riesgosos.

Suggested Citation

  • Luis Fernando Melo Velandia & Juan Mauricio Ram�rez C. & Mario Andr�s Ramos V., 2005. "Construcci�N De Un �Ndice De Percepci�N De Riesgo De Los Mercados Financieros Globales," Borradores de Economia 2194, Banco de la Republica.
    • Handle: RePEc:col:000094:002194
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    Keywords

    �ndice de percepci�n de riesgo;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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