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Descalce de vencimientos y crisis financieras: elementos de juicio de empresas de mercados emergentes

  • Hoyt Bleakley
  • Kevin Cowan

(Disponible en idioma inglés únicamente) Durante los últimos años se le ha dedicado una atención considerable al riesgo de descalce de los vencimientos en los mercados emergentes. Aunque este riesgo es de naturaleza microeconómico, los elementos de juicio obtenidos hasta ahora han tomado la forma de correlaciones de tipo macro. En este estudio se analiza empíricamente este mecanismo al nivel micro, mediante el uso de una base de datos de más de 3. 000 compañías cotizadas en bolsa en 15 mercados emergentes distintos. Se cuantifica el riesgo de la exposición a corto plazo mediante el cálculo, al nivel de empresa, del efecto que sobre la inversión tiene la interacción entre la exposición a corto plazo y los flujos agregados de capitales. Este efecto es (estadísticamente) nulo, contrariamente a lo que predice la hipótesis de descalce de los vencimientos. Esta conclusión sigue siendo valedera con el uso de una gama de estimadores distintos, medidas alternativas de flujos de capital y controles de los efectos de la devaluación y el acceso al capital internacional. Se descubren elementos de prueba que indican que las compañías con exposición a corto plazo pagan costos financieros más elevados y liquidan activos a precios de gallina flaca, pero el estudio no concluye que esta reducción del valor neto se traduzca en una baja de la inversión.

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Paper provided by Inter-American Development Bank, Research Department in its series Research Department Publications with number 4434.

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Date of creation: Jul 2005
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Handle: RePEc:idb:wpaper:4434
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