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Ciclos económicos y financieros: Una aproximación empírica para Bolivia

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  • Santander Quino, Camila Miriam

    (IISEC, Universidad Católica Boliviana)

Abstract

A partir de las crisis financieras de los últimos años y el creciente desarrollo del sistema financiero, ha surgido la necesidad de entender la relación entre el sector financiero y el sector real de la economía desde una visión integral. Muchos autores han abordado esta relación desde el campo empírico de los ciclos económicos y la reciente noción de los ciclos financieros. En este sentido, el presente trabajo de investigación busca determinar de manera empírica la relación entre el ciclo económico y financiero para el caso boliviano, en el periodo 1990-2019. Mediante el enfoque de filtros estadísticos y puntos de inflexión, se encuentra que la duración y la amplitud de las fases del ciclo financiero son mayores que las del ciclo económico. Además, se encuentra que el ciclo financiero tiene un comportamiento rezagado respecto al ciclo económico y que las fases de ambos están sincronizadas el 60% del tiempo. Posteriormente, mediante un modelo de vectores autoregresivos (VAR) se emplea la prueba de causalidad de Granger, así como las funciones impulso respuesta y la descomposición de la varianza. Se encuentra causalidad bidireccional entre los ciclos, siendo más fuerte y persistente del ciclo económico al financiero. Asimismo, se identifica que la bicausalidad puede deberse a la existencia de una tercera variable que explica a ambas, que podría ser del sector externo o una variable de política económica.

Suggested Citation

  • Santander Quino, Camila Miriam, 2022. "Ciclos económicos y financieros: Una aproximación empírica para Bolivia," Documentos de trabajo 1/2022, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    • Handle: RePEc:ris:iisecd:2022_001
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    More about this item

    Keywords

    Ciclo económico; Ciclo financiero; Crédito; Descomposición de series;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises

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