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Los efectos de las importaciones, exportaciones y TES sobre el EMBI para el caso colombiano un análisis utilizando modelos VEC para el periodo 2010 -2016

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  • Daniela Castillo Téllez

Abstract

Los inversionistas evalúan el riesgo de sus inversiones a la hora de vincularse en un mercado. En este caso se analiza el riesgo país desde el Emerging Markets Bond Index (EMBI), el cual es un indicador calculado por J. P. Chase Morgan que mide la posibilidad de que un país no cumpla los requisitos para el pago de su deuda externa. El presente estudio estima un Modelo Vectorial de Corrección de Errores (VEC) en el que se evidencian la relación y los impactos de las importaciones, las exportaciones y los títulos de deuda pública con el riesgo país de Colombia para el periodo de 2010 a 2016. Los resultados sugieren que el EMBI colombiano presenta una relación directa con las exportaciones y una relación inversa con las demás variables, teniendo en cuenta que en cada país las decisiones de política monetaria pueden modificar dicho indicador de riesgo.******Investors evaluate the risk of their investments when it comes to joining a market. In this case, the country risk is analyzed from the Emerging Markets Bond Index (EMBI), which is calculated by J. P. Morgan Chase that measures the possibility that a country does not meet the requirements for payment of it external debt indicator. This study estimates a Vector Error Correction (VEC) Model in which the relationship and impact of imports, exports and public debt securities with country risk Colombia for the period 2010 to 2016 are shown. The results suggest that the Colombian EMBI has a direct relationship with exports and an inverse relationship with the other variables, taking into account that in each country monetary policy decisions can modify this risk indicator.

Suggested Citation

  • Daniela Castillo Téllez, 2017. "Los efectos de las importaciones, exportaciones y TES sobre el EMBI para el caso colombiano un análisis utilizando modelos VEC para el periodo 2010 -2016," Revista CIFE, Universidad Santo Tomás, vol. 19(30), pages 47-77, July.
    • Handle: RePEc:col:000195:017027
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    References listed on IDEAS

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    1. Leonardo Villar, 1985. "Determinantes de las importaciones en Colombia: un análisis econométrico," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 4(8), pages 61-100, December.
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    More about this item

    Keywords

    Riesgo financiero; variables macroeconómicas; series de tiempo.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • 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

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