IDEAS home Printed from https://ideas.repec.org/p/rbp/wpaper/2022-009.html
   My bibliography  Save this paper

Choques de incertidumbre y regímenes financieros en Mercados Emergentes

Author

Listed:
  • Llosa, Luis
  • Pérez, Fernando
  • Tuesta, Vicente

    (Banco Central de Reserva del Perú)

Abstract

En este trabajo estudiamos la relación entre las condiciones financieras y la incertidumbre económica en cinco países emergentes (Brasil, Chile, Colombia, México y Perú). En el modelo empírico, la incertidumbre se mide como la volatilidad de los choques estructurales de la economía, y la transmisión de sus efectos macroeconómicos depende del régimen en el que se encuentran de los mercados financieros (tiempos normales o estrés financiero). Se encuentra que choques repentinos en la incertidumbre endurecen las condiciones financieras, aumentando la probabilidad de una crisis financiera. Se encuentra también que los choques de incertidumbre son recesivos en todos los períodos, provocan una reducción en las tasas de interés y deprecian la moneda local frente al dólar estadounidense. Es importante destacar que la magnitud de estas respuestas es más grande y más persistente durante los períodos de estrés financiero.

Suggested Citation

  • Llosa, Luis & Pérez, Fernando & Tuesta, Vicente, 2022. "Choques de incertidumbre y regímenes financieros en Mercados Emergentes," Working Papers 2022-009, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2022-009
    as

    Download full text from publisher

    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2022/documento-de-trabajo-009-2022.pdf
    File Function: Application/pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Threshold Vector Auto-regressions; Uncertainty; Financial Regimes;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbp:wpaper:2022-009. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Research Unit (email available below). General contact details of provider: https://edirc.repec.org/data/bcrgvpe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.