Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica

Jorge Uribe

doi:10.17533/udea.le.n75a11475

Autores/as

Jorge Uribe Universidad del Valle

DOI:

https://doi.org/10.17533/udea.le.n75a11475

Palabras clave:

contagio financiero, cópulas, MGARCH, dependencia extrema, mercados financieros colombianos

Resumen

Se presenta una metodología reciente para la detección del contagio financiero basada en coeficientes de dependencia asintótica. Este enfoque, sin alejarse de las condiciones teóricas del problema, logra sortear las críticas estadísticas a las que frecuentemente están expuestas otras aproximaciones como los coeficientes de correlación y los vectores autorregresivos. La técnica se aplica en los principales mercados financieros colombianos: renta fija pública, de acciones, monetario y cambiario. Se encuentra que, en términos generales, no se presentó contagio en estos mercados incluso después de la crisis global de 2007- 2009.

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Biografía del autor/a

Jorge Uribe, Universidad del Valle

Estudiante de Doctorado en European University Institute. Profesor del Departamento de Economía de la Universidad del Valle.

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