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Modelo VECM para estimar relaciones de largo plazo de un indicador de liquidez y sus determinantes

Author

Listed:
  • Gómez Munoz, Wilman Arturo
  • Lopera Sierra, John Fernando

Abstract

Resumen: Este documento presenta un indicador de vulnerabilidad financiera que da cuenta de situaciones donde la economía o el sistema bancario y financiero pueden enfrentar el riesgo de desarrollar una crisis financiera, como consecuencia de cambios en las condiciones económicas. Con este fin, se identifican las relaciones entre los shocks macroeconómicos y el sector financiero, mediante un modelo VECM. Nuestros resultados permiten establecer que existen relaciones de cointegración entre el índice de fragilidad financiera y los determinantes teóricos del mismo. Abstract : This paper presents an indicator of financial vulnerability that accounts for situations where the economy or the financial and banking system may face the risk of a financial crisis as a result of changes in economic conditions. To this end, we identify the relationship between macroeconomic shocks and financial sector, through a VEC model. Our results establish that cointegration relationships exist between the financial fragility index and the theoretical determinants thereof.

Suggested Citation

  • Gómez Munoz, Wilman Arturo & Lopera Sierra, John Fernando, 2013. "Modelo VECM para estimar relaciones de largo plazo de un indicador de liquidez y sus determinantes," Borradores Departamento de Economía 17491, Universidad de Antioquia, CIE.
    • Handle: RePEc:col:000196:017491
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    Cited by:

    1. Tobón Orozco, David & Molina, Carlos & Vargas, Harvey, 2018. "Can environmental taxes and payments for ecosystem services regulate pollution when the resilience of water bodies is surpassed?," Borradores Departamento de Economía 17179, Universidad de Antioquia, CIE.

    More about this item

    Keywords

    Fragilidad financiera; crisis financiera;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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