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Quiebre estructural de la relaci�n entre la pol�tica fiscal y el riesgo soberano en las econom�as emergentes: el caso colombiano

Author

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  • Juan Manuel Julio R.
  • Ignacio Lozano
  • Ligia Alba Melo B.

Abstract

En este trabajo se muestra que el EMBI-Colombia est� determinado por el apetito por riesgo de los inversionistas internacionales y que su respuesta es no lineal y est� influenciada por la postura fiscal del gobierno. Se encuentra tambi�n que la relaci�n entre estas variables sufri� un cambio estructural favorable en la mitad de la d�cada del 2000, que parece estar asociado a los mejores fundamentales macroecon�micos locales y al deterioro del entorno internacional. Finalmente, se concluye que el riesgo soberano mantiene una relaci�n unidireccional con la devaluaci�n nominal y la valorizaci�n anual del IGBC, sugiriendo que el EMBI aporta la informaci�n b�sica para valorar las perspectivas de los mercados financieros locales.

Suggested Citation

  • Juan Manuel Julio R. & Ignacio Lozano & Ligia Alba Melo B., 2012. "Quiebre estructural de la relaci�n entre la pol�tica fiscal y el riesgo soberano en las econom�as emergentes: el caso colombiano," Borradores de Economia 9316, Banco de la Republica.
    • Handle: RePEc:col:000094:009316
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    References listed on IDEAS

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    Cited by:

    1. Hernando Vargas & Andrés Gonzalez & Ignacio Lozano, 2012. "Macroeconomic effects of structural fiscal policy changes in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Fiscal policy, public debt and monetary policy in emerging market economies, volume 67, pages 119-160, Bank for International Settlements.
    2. Ligia Alba Melo B & Jorge Ramos F & Hector Zarate S, 2013. "Mercado de bonos soberanos y estabilidad financiera: Una aplicaci�n de Gr�ficos Ac�clicos Direccionados (GAD) y modelos SVAR," Borradores de Economia 11099, Banco de la Republica.

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    Keywords

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    JEL classification:

    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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