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Mapa de calor para el mercado financiero

Author

Listed:
  • Quintana, Derry
  • Chicana, Diego
  • Cisneros, Alex
  • Nivín, Rafael
  • Sánchez, Elmer
  • Yamunaqué, Diego

    (Banco Central de Reserva del Perú)

Abstract

El documento propone la elaboración de un mapa de calor para el mercado financiero peruano que sirva como una herramienta de monitoreo de riesgos a la estabilidad financiera, permitiendo la identificación de potenciales vulnerabilidades en los mercados de capitales, el sistema financiero y el mercado monetario. Tomando como base la metodología propuesta por Aikman y otros (2017), se elaboró una propuesta de mapa de calor que caracteriza los episodios de estrés financiero que ha atravesado el mercado financiero en los últimos 15 años. Asimismo, el mapa de calor propuesto puede ser utilizado como herramienta de alerta temprana para identificar potenciales eventos de estrés financiero a futuro.

Suggested Citation

  • Quintana, Derry & Chicana, Diego & Cisneros, Alex & Nivín, Rafael & Sánchez, Elmer & Yamunaqué, Diego, 2020. "Mapa de calor para el mercado financiero," Working Papers 2020-010, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2020-010
    as

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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2020/documento-de-trabajo-010-2020.pdf
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    More about this item

    Keywords

    mapa de calor; estabilidad financiera; alerta temprana.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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