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Mercado de bonos soberanos y estabilidad financiera: Una aplicación de Gráficos Acíclicos Direccionados (GAD) y modelos SVAR

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Abstract

Durante las dos últimas décadas, los mercados de deuda pública se han desarrollado significativamente en las economías emergentes. A pesar de las ventajas que el desarrollo de este mercado tiene sobre el sector financiero, la volatilidad en el precio de los bonos soberanos conlleva riesgos potenciales para la rentabilidad y la estabilidad financiera. Este trabajo utiliza Gráficos Acíclicos Direccionados y modelos SVAR para evaluar el impacto de diversos choques sobre la pendiente de la curva de rendimiento, y sobre la rentabilidad y estabilidad del sistema bancario. Los resultados sugieren que la inflación, la tasa de interés de política monetaria y los indicadores de percepción del riesgo son las variables con mayor impacto sobre la pendiente de la curva de rendimiento. De otro lado, cuando la pendiente de la curva aumenta, la respuesta sobre la rentabilidad y la proporción de bonos en el portafolio de los bancos es positiva. Así mismo, un aumento de la pendiente de la curva tiene un efecto contemporáneo positivo sobre la estabilidad financiera, medida a través del indicador de riesgo, VaR, el cual disminuye en el tiempo hasta a estabilizarse alrededor de cero.

Suggested Citation

  • 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 011099, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:011099
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    Keywords

    Mercado de deuda soberana; Gráficos Acíclicos Direccionados; Estabilidad financiera.;
    All these keywords.

    JEL classification:

    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • G2 - Financial Economics - - Financial Institutions and Services
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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