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Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers

In: Flujos de capitales, choques externos y respuestas de política en países emergentes

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  • Melo-Velandia, Luis Fernando
  • Rincón-Castro, Hernán

Abstract

La investigación cuantifica y evalúa el grado de asociación entre los mercados financieros de las economías avanzadas y los precios de los activos de las economías más grandes de Latinoamérica, antes y después del anuncio de la quiebra de Lehman Brothers. Se utiliza información diaria entre 2006 y 2011 y un análisis de multiplicadores a partir de un modelo de regresión VARX-GARCH.

Suggested Citation

  • Melo-Velandia, Luis Fernando & Rincón-Castro, Hernán, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 4, pages 137-190, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:bdrcap:2013-09-137-190
    DOI: 10.32468/Ebook.664-270-5
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    4. Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, June.
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    Citations

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    Cited by:

    1. Arias, Fernando & Parra-Amado, Daniel & Garrido, Daira, 2013. "¿Responden los diferentes tipos de flujos de capitales a los mismos fundamentos y en el mismo grado? : evidencia reciente para países emergentes," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 2, pages 53-81, Banco de la Republica de Colombia.
    2. Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, June.
    3. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(75), pages 1-22, December.
    4. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
    5. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    6. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC applicati," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    7. Fernando Arias & David Delgado & Daniel Parra & Hernán Rincón-Castro, 2016. "Gross Capital Flows and their long-term Determinants for Developing Economies: A Panel Co-integration Approach," Borradores de Economia 932, Banco de la Republica de Colombia.
    8. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.

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    More about this item

    Keywords

    Precios; Tasas de interés; Riesgo; Crisis financiera; Inversiones; Prices; Interest rates; Risk; Financial crisis; Investments;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • G01 - Financial Economics - - General - - - Financial Crises
    • B22 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Macroeconomics

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