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Quiebre estructural de la relación entre la política fiscal y el riesgo soberano en las economías emergentes: el caso colombiano

Author

Listed:
  • Juan Manuel Julio R.

    ()

  • Ignacio Lozano

    ()

  • Ligia Alba Melo B.

    ()

Abstract

En este trabajo se muestra que el EMBI-Colombia está determinado por el apetito por riesgo de los inversionistas internacionales y que su respuesta es no lineal y está influenciada por la postura fiscal del gobierno. Se encuentra también que la relación entre estas variables sufrió un cambio estructural favorable en la mitad de la década del 2000, que parece estar asociado a los mejores fundamentales macroeconómicos locales y al deterioro del entorno internacional. Finalmente, se concluye que el riesgo soberano mantiene una relación unidireccional con la devaluación nominal y la valorización anual del IGBC, sugiriendo que el EMBI aporta la información básica 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 relación entre la política fiscal y el riesgo soberano en las economías emergentes: el caso colombiano," BORRADORES DE ECONOMIA 009316, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:009316
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Thomas J. Sargent & Neil Wallace, 1981. "Some unpleasant monetarist arithmetic," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    3. Olivier Blanchard, 2004. "Fiscal Dominance and Inflation Targeting: Lessons from Brazil," NBER Working Papers 10389, National Bureau of Economic Research, Inc.
    4. Alejandro Izquierdo & Randall Romero & Ernesto Talvi, 2008. "Booms and Busts in Latin America: The Role of External Factors," Research Department Publications 4569, Inter-American Development Bank, Research Department.
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    Citations

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    Cited by:

    1. Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, Junio.
    2. Ignacio Lozano & Ligia Alba Melo B. & Jorge Enrique Ramos F., 2012. "Flujos de capital y política fiscal en las economías emergentes de América Latina," BORRADORES DE ECONOMIA 009439, BANCO DE LA REPÚBLICA.
    3. Ligia Alba Melo B. & Jorge Ramos F. & Hector Zarate S., 2013. "Mercado de bonos soberanos y estabilidad financiera: Una aplicación de Gráficos Acíclicos Direccionados (GAD) y modelos SVAR," Borradores de Economia 795, Banco de la Republica de Colombia.
    4. 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.
    5. Luis Ignacio Lozano Espitia & Ligia Alba Melo-Becerra & Jorge Enrique Ramos, 2016. "La política fiscal frente a los flujos de capital: evidencia para algunos países de América Latina," REVISTA APUNTES DEL CENES, UNIVERSIDAD PEDAGOGICA Y TECNOLOGICA DE COLOMBIA, vol. 35(62), pages 53-85, July.
    6. Luis Fernando Melo & Hernán Rincon, 2012. "External Shocks and Asset Prices in Latin America before and after Lehman Brothers’ Bankruptcy," Borradores de Economia 704i, Banco de la Republica de Colombia.

    More about this item

    Keywords

    Política fiscal; deuda soberana; análisis de riego; mercados financieros;

    JEL classification:

    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
    • 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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