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Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad
[Spillovers effects on financial markets of Colombia. Identification through heteroskedasticity]

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  • Sandoval Paucar, Giovanny

Abstract

La investigación cuantifica y analiza los efectos de los choques originados en los mercados estadounidenses sobre los principales mercados financieros colombianos. Para cumplir con este objetivo se emplea la información diaria de los mercados de dinero, bonos, acciones y tipo de cambio entre Colombia y EE.UU. durante el periodo de Enero 2003 y Enero 2015. La metodología utilizada es un modelo VAR estructural que emplea la heterocedasticidad que existe en los datos para la identificación y la estimación de los coeficientes de transmisión financiera. Se encuentra que los mercados estadounidenses generan efectos overall spillovers significativos sobre el mercado accionario colombiano. A su vez, los resultados reflejan la posición dominante del mercado de bonos estadounidenses como el motor de los efectos de desbordamiento.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:90422
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    More about this item

    Keywords

    Choques financieros; precios de activos; Modelos SVAR-IH; Heterocedasticidad;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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