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Diseno de un modelo de alerta temprana para inferir la ocurrencia de crisis financieras con aplicación a mercados emergentes. El caso del mercado bursátil Colombiano

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  • Luis Ángel Meneses Cerón
  • Carlos Alirio Pismag Ramírez
  • Jhon Hayder Bolaños Garcés

Abstract

Resumen: La presente investigación combina el campo teórico con la implementación empírica del modelo óptimo que permita encontrar la forma de comprender la transmisión de volatilidad producto del contagio financiero y que aumenta los niveles de riesgo. El estudio se centra en determinar los principales indicadores macro prudenciales del riesgo sistémico aplicado a los mercados emergentes, especialmente al mercado bursátil nacional con el fin de inferir con antelación la ocurrencia de fenómenos de crisis financiera. Se estiman los aspectos económicos y financieros claves, tales como el desempeno macro de los mercados, la estructura funcional y el desempeno económico-financiero de los diferentes agentes involucrados en el contagio financiero. Metodológicamente, se tiene en cuenta como población objeto de estudio al mercado bursátil colombiano, durante un periodo de cinco anos. Se asume desde el punto de vista teórico que constituye el mercado financiero más representativo de la economía nacional y desde el punto de vista metodológico, que son mercados sobre los cuales existe la mayor cantidad de datos disponible en las diferentes plataformas de información económica-financiera para economías emergentes, como la colombiana. Finalmente, la representación para el análisis del contagio financiero se realiza con modelaciones de tipo GARCH[5], debido a que dichos modelos son adecuados en el estudio de la dinámica de los activos dentro los mercados bursátiles.

Suggested Citation

  • Luis Ángel Meneses Cerón & Carlos Alirio Pismag Ramírez & Jhon Hayder Bolaños Garcés, 2022. "Diseno de un modelo de alerta temprana para inferir la ocurrencia de crisis financieras con aplicación a mercados emergentes. El caso del mercado bursátil Colombiano," Revista Estrategia Organizacional, Universidad Nacional Abierta y a Distancia, vol. 11(1), pages 7-29, March.
  • Handle: RePEc:col:000577:020130
    DOI: 10.22490/25392786.5656
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    References listed on IDEAS

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