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Riesgo De Crédito Y Ciclos Del Crecimiento Económico

Author

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  • Alvarez Caro Diego Alejandro

Abstract

En este documento se estima la relación entre los diferenciales de riesgo de impago y el ciclo económico en Estados Unidos. Se emplea una muestra mensual que va desde noviembre del 2008 hasta agosto del 2017. Para la estimación se utiliza la metodología de cambios de régimen planteada por Hamilton (1989), con la cual se puede hacer uso del supuesto de que hay dos estados en la economía (uno de expansión y otro de recesión) y observa la forma en la que cambian las dinámicas económicas respecto al riesgo de impago. Se encuentra un efecto de la caída del sector financiero sobre el sector real, donde este último también cae.

Suggested Citation

  • Alvarez Caro Diego Alejandro, 2018. "Riesgo De Crédito Y Ciclos Del Crecimiento Económico," Documentos de Trabajo 16339, Universidad del Valle, CIDSE.
    • Handle: RePEc:col:000149:016339
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    More about this item

    Keywords

    Credit Default Swaps; riesgo de impago; ciclo económico; cambios de régimen.;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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