Dinámicas e integración de los mercados financieros de los países del TLCAN

Palabras clave: Tasas de interés, Tipos de cambio, Mercados bursátiles, Modelo de Factores Dinámicos, TLCAN

Resumen

El objetivo de este artículo es estudiar las dinámicas del proceso de integración de los mercados de valores gubernamentales, interbancarios, cambiarios y bursátiles de las economías del TLCAN. Para tal propósito, se emplea el modelo generalizado de factores comunes propuesto por Forni, Hallin, Lippi y Reichlin (2005) y series representativas de los rendimientos de los mercados analizados para el período comprendido entre enero de 1995 y diciembre de 2017. Los principales resultados sugieren que: 1) existen asimetrías en el tamaño de los mercados, 2) hay evidencia de cambios estructurales, 3) existen factores comunes entre los mercados financieros, 4) los mercados tienen niveles de integración diferenciados, y 5) los mercados cambiarios y bursátiles son los más sensibles a los componentes comunes. Estos hallazgos pueden ser útiles para analizar la evolución del TLCAN y para proponer políticas económicas y financieras regionales.

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Biografía del autor/a

Javier Emmanuel Anguiano Pita, Universidad de Guadalajara, CUCEA
MSc en Economía
Antonio Ruiz Porras, Universidad de Guadalajara, CUCEA
Ph.D. en Economía

Citas

Alessi, L., Barigozzi, M., & Capasso, M. (2010). Improved penalization for determining the number of factors in approximate factor models. Statistics & Probability Letters.

Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics, 73, 251-277.

Baele, L., Bekaert, G., & Inghelbrecht, K. (2010). The Determinants of Stock and Bond Return Comovements. Review of Financial Studies, 23(6), 2374-2428.

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Boysen-Hogrefe, J. (2013). A dynamic factor model with time-varying loadings for euro area bond markets. Economic Letters, 118, 50-54.

Eyraud, L., Singh, D., & Sutton, B. (2017). Benefits of Global and Regional Financial Integration in Latin America. Western Hemisphere Department. IMF Working Paper.

Kasa, K. (1992). Common stochastic trends in international stock markets. Journal of Monetary Economics, 29(1), 95-124.

Kenourgios, D., Samitas, A., & Paltalidis, N. (2009). Financial Market Dynamics in an Enlarged European Union. Journal of Economic Integration, 24(2), 197-221.

López-Herrera, F. &. (2010). Cointegration trends among the NAFTA equity markets. Revista de Economía Mundial, 26, 155-176.

López-Herrera, F., & Ortiz, E. (2011). Dynamic Multibeta Macroeconomic Asset Pricing Model at NAFTA Stock Markets. International Journal of Economics and Finance, 3(1), 55-68.

Lucey, B., & Voronkova, S. (2006). The Relations between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998. En J. Batten, & C. Kearney (Edits.), Emergin European Financial Markets: Independence and Integration Post-Enlargement, International Fiancial Review (Vol. 6, págs. 383-413).

Ortiz, É., López-Herrera, F., & Cabello, A. (2007). Las bolsas de valores en el área del TLCAN: un análisis de largo plazo. Problemas del desarrollo, 38(151), 37-61.

Peña, D., & Box, G. (1987). Identifying a Simplifying Structur in Time Series. Journal of the American Statistical Association, 82(399), 836-843.

Pretorius, A., & Kabundi, A. (2014). Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market. ERSA Working Paper 436, Economic Research South Africa (ERSA).

Pukthuanthong , K., & Roll, R. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, 94, 214-232.

Raj, J., & Dhal, S. (2008). Integration of India's stock market with global and major regional markets. BIS Paper 42. Bank for International Settlements.

Stock, J. H., & Watson, M. W. (2016). Factor Models and Structural Vector Autoregressions in Macroeconomics. En J. B. Taylor, & H. Uhlig (Edits.), Handbook of Macroeconomics (Vol. 2, págs. 415-525). Oxford: North Holland.

Volosovych, V. (2013). Learning about Financial Market Integration from Principal Component Analysis. CESifo Economic Studies, 59(2), 360-391.

Alessi, L., Barigozzi, M., & Capasso, M. (2010). Improved penalization for determining the number of factors in approximate factor models. Statistics & Probability Letters.

Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics, 73, 251-277.

Baele, L., Bekaert, G., & Inghelbrecht, K. (2010). The Determinants of Stock and Bond Return Comovements. Review of Financial Studies, 23(6), 2374-2428.

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221.

Boysen-Hogrefe, J. (2013). A dynamic factor model with time-varying loadings for euro area bond markets. Economic Letters, 118, 50-54.

Eyraud, L., Singh, D., & Sutton, B. (2017). Benefits of Global and Regional Financial Integration in Latin America. Western Hemisphere Department. IMF Working Paper.

Kasa, K. (1992). Common stochastic trends in international stock markets. Journal of Monetary Economics, 29(1), 95-124.

Kenourgios, D., Samitas, A., & Paltalidis, N. (2009). Financial Market Dynamics in an Enlarged European Union. Journal of Economic Integration, 24(2), 197-221.

López-Herrera, F. &. (2010). Cointegration trends among the NAFTA equity markets. Revista de Economía Mundial, 26, 155-176.

López-Herrera, F., & Ortiz, E. (2011). Dynamic Multibeta Macroeconomic Asset Pricing Model at NAFTA Stock Markets. International Journal of Economics and Finance, 3(1), 55-68.

Lucey, B., & Voronkova, S. (2006). The Relations between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998. En J. Batten, & C. Kearney (Edits.), Emergin European Financial Markets: Independence and Integration Post-Enlargement, International Fiancial Review (Vol. 6, págs. 383-413).

Ortiz, É., López-Herrera, F., & Cabello, A. (2007). Las bolsas de valores en el área del TLCAN: un análisis de largo plazo. Problemas del desarrollo, 38(151), 37-61.

Peña, D., & Box, G. (1987). Identifying a Simplifying Structur in Time Series. Journal of the American Statistical Association, 82(399), 836-843.

Pretorius, A., & Kabundi, A. (2014). Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market. ERSA Working Paper 436, Economic Research South Africa (ERSA).

Pukthuanthong , K., & Roll, R. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, 94, 214-232.

Raj, J., & Dhal, S. (2008). Integration of India's stock market with global and major regional markets. BIS Paper 42. Bank for International Settlements.

Stock, J. H., & Watson, M. W. (2016). Factor Models and Structural Vector Autoregressions in Macroeconomics. En J. B. Taylor, & H. Uhlig (Edits.), Handbook of Macroeconomics (Vol. 2, págs. 415-525). Oxford: North Holland.

Volosovych, V. (2013). Learning about Financial Market Integration from Principal Component Analysis. CESifo Economic Studies, 59(2), 360-391.

Publicado
2020-01-24
Cómo citar
Anguiano Pita, J. E., & Ruiz Porras, A. (2020). Dinámicas e integración de los mercados financieros de los países del TLCAN. Lecturas De Economía, (92), 67-100. https://doi.org/10.17533/udea.le.n92a03
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