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Efectos de propagación de los mercados financieros estadounidenses en los colombianos
Spillover effects of US financial markets in Colombian financial markets
Efeitos de propagação dos mercados financeiros estadunidenses nos colombianos
DOI:
https://doi.org/10.15446/cuad.econ.v39n81.77091Palabras clave:
choques financieros, precios de activos, modelos SVAR-IH, heterocedasticidad (es)Financial shocks, asset price, SVAR-IH models, heteroskedasticity (en)
choques financeiros, preços de ativos, modelos SVAR-IH, heterocedasticidade (pt)
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Este artículo cuantifica y analiza los efectos de los choques originados en los mercados estadounidenses sobre los principales mercados financieros colombianos durante el periodo de 2003 a 2015. La metodología utilizada es un modelo de vectores autorregresivos (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.
This paper aims to analyse and quantify the effects of shocks originated in the US financial markets on the major Colombian financial markets during the period 2003-2015. The employed methodology is a structural VAR model that uses the heteroskedasticity existing in the data to achieve the identification and estimation of the financial transmission coefficients. It was discovered that US markets generate significant overall spill over effects on the Colombian stock market. In turn, the results reflect the dominant position of the US bond market as the engine of spill over effects.
Este artigo quantifica e analisa os efeitos dos choques originados nos mercados estadunidenses sobre os principais mercados financeiros colombianos durante o período de 2003 a 2015. A metodologia utilizada é um modelo de vetores auto regressivos (VAR) estrutural empregado pela heterocedasticidade que existe nos dados para a identificação e estimação dos coeficientes de transmissão financeira. Observa-se que os mercados estadunidenses geram efeitos overall spillovers significativos sobre o mercado acionário colombiano. Por sua vez, os resultados refletem a posição dominante do mercado de títulos estadunidenses como o motor dos efeitos de transbordamento.
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