Índice de estrés en los Mercados Financieros Emergentes
Palabras clave:
Índices de estrés financiero, volatilidad, componentes principales, GARCH (1,1), Mercados Financieros EmergentesResumen
Este trabajo propone construir un índice de estrés financiero de mercados emergentes (IEFME) que identifique períodos de estrés financiero y la mayor volatilidad de los mercados emergentes. Se han utilizado las series de 19 economías emergentes de América Latina, Europa y África, y Asia Emergente. Las variables financieras utilizadas son los tipos de cambio locales de cada país contra el dólar americano, las primas de seguro de protección contra incumplimiento en dólares o los Credit Default Swaps (CDS) a 5 años, sus principales índices accionarios y las tasas de interés a 1, 5 y 10 años, en el período 2003-2019. Se propone la metodología de Análisis de Componentes Principales (ACP) (Principal Component Analysis, PCA) para la construcción del índice de estrés financiero puesto que permite resumir en un solo indicador el nivel de “estrés generalizado” en los mercados financieros de países emergentes, además de identificar el estado que guardan los diferentes mercados a través del tiempo. Una vez que se obtienen las primeras componentes, se estima la volatilidad para cada una de ellas utilizando el modelo GARCH (1,1).
Clasificación JEL: G15; G12.
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Alexander, C. (1998). Volatility and correlation: measurement, models and applications, Risk management and analysis, vol. 1, pp. 125-171.
Alexander, C. (2000). A primer on the orthogonal GARCH model. Manuscript ISMA Centre University of Reading. UK, pp. 1 – 40.
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Alexander, C. (2001). Orthogonal GARCH. Mastering Risk, vol. 2, pp. 21- 38.
Alexander, C. and Chibumba, A. (1996). Multivariate Orthogonal Factor GARCH models. University of Sussex Discussion papers in mathematics.
Alexander, C. and Leigh, C. (1997). On the covariance matrices used in VaR models, Journal of Derivatives, no. 3, pp. 50-62.
Bloom, N. (2009), The Impact of Uncertainty Shocks, Econometrica, vol. 77 (3), pp. 623-685. https://doi.org/10.3982/ECTA6248
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, vol. 31, pp. 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
Borio, C. and Drehmann, M. (2009). Assessing the risk of banking crises revisited. BIS Quarterly Review, pp. 29 – 46. https://www.bis.org/publ/qtrpdf/r_qt0903.pdf
Borio, C. and Lowe, P. (2002). Assesing the risk of banking crises. BIS Quarterly Review, pp. 43 – 54. https://www.bis.org/publ/qtrpdf/r_qt0212e.pdf
Brave, S and Butters, R. (2011). Monitoring financial stability: A financial conditions index approach, Economic Perspectives, Vol. 35, no. 1, pp. 22 -43.
Cardarelli, R., Elekdag, S. and Lall, S. (2011). Financial stress and economic contractions. Journal of Financial Stability, vol. 7(2), pp. 78-97. https://doi.org/10.1016/j.jfs.2010.01.005
Cont, R. (2005). Modeling term structure dynamics: an infinite dimensional approach, International Journal of theoretical and applied finance, vol. 8, no. 3, pp. 357 – 380. https://doi.org/10.1142/S0219024905003049
Davig, T. and Hakkio, C. (2010). What is the Effect of Financial Stress on Economic Activity. Economic Review, vol. 95, no. 2, pp. 35–62.
Domanski, D and Ng, T. (2011). Getting effective macroprudential policy on the road: eight propositions, BIS papers, no. 60, pp. 89 - 96. https://www.bis.org/publ/bppdf/bispap60.pdf#page=103
Eichler, S., Karmann, A. and Maltritz, D. (2009). The ADR Shadow Exchange Rate as an Early Warning Indicator for Currency Crises, Journal of Banking and Finance, vol. 33, no. 11, pp. 1983-1995. https://doi.org/10.1016/j.jbankfin.2009.04.019
Engle, Robert F.; Ng, Victor K.; Rothschild, Michael (1990). Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills, Journal of Econometrics, Volume 45, Issues 1–2, pp. 213-237, https://doi.org/10.1016/0304-4076(90)90099-F
Grimaldi, B. (2010). Detecting and interpreting financial stress in the euro area,. Working Papers series no. 1214, Frankfurt: European Central Bank.
Hakkio, C. and Keeton, W. (2009). Financial Stress: What Is It, How Can It be Measured, and Why Does It Matter, Economic Review, vol. 94, no. 2, pp. 5 – 50.
Hatzius, J., Hooper, P., Mishkin, F., Schoenholtz, K., Watson, M. (2010). Financial Conditions Indexes: A Fresh Look after the Financial Crisis, NBER Working Paper, no. 16150, pp. 1 - 56. https://www.nber.org/papers/w16150.pdf
Hollo, D., Kremer , M. and Lo Duca, M. (2012). CISS - a composite indicator of systemic stress in the financial system, , Working Paper Series no. 1426, European Central Bank pp. 1 – 49. https://www.econstor.eu/bitstream/10419/153859/1/ecbwp1426.pdf
Illing, M. y Liu, y. (2006), Measuring Financial Stress in a Developed Country: An Application to Canada, Journal of Financial Stability, vol. 2, no. 3, pp. 243-265.
Kliesen, K. and Smith, D. (2010). Measuring financial market stress, Economic synopses, no.2, pp. 1- 2. https://files.stlouisfed.org/files/htdocs/publications/es/10/ES1002.pdf
Kroszner RS, Shiller RJ (2011), Reforming U.S. Financial Markets. Reflections Before and Beyond Dodd-Frank. Cambridge, MA: The MIT Press.
Litterman, R. and Scheinkman, J. (1991). Common Factors Affecting Bond Returns. Journal of Fixed Income Summer, vol. 1, no. 1, pp. 54-61. https://doi.org/10.3905/jfi.1991.692347
Lo Duca, M. and Peltonen T. (2011). Macro – financial vulnerabilities and future financial stress: assessing systemic risk and predicting systemic events., Working Paper Series no. 1311, pp. 4 – 28. European Central Bank. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1311.pdf
Louzis, D., Vouldis, A. (2013). A financial systemic stress index for Greece. Working Paper Series No. 1563. European Central Bank. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1563.pdf
Martínez, Carlos y Núñez, José A. (2012). Análisis de componentes principales de la estructura a plazos de las tasas de interés en México, Eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, no. 33 pp.3-23.
Misina, M. and Tkacz, C. (2009). Credit, Asset Prices, and Financial Stress, International Journal of Central Banking, vol. 5, no. 4, pp. 95-122.
Mota y Núñez, (2015). Teoría y Aplicaciones en la Administración de Riesgos. México: Porrúa-UAM.
Nelson, W. R., y Perli, R. (2007). Selected indicators of financial stability. Risk Measurement and Systemic Risk, vol. 4, pp. 343 – 372.
Ng, T. (2011). The predictive content of financial cycle measures for output fluctuations, BIS Quarterly Review, pp. 53 – 65. https://www.bis.org/publ/qtrpdf/r_qt1106g.pdf
Oet, M., Eiben, R., Bianco, T., Gramlich, D. and Ong, S. (2011). The Financial Stress Index: Identification of Systemic Risk Conditions. Working Paper 1130, Federal Reserve Bank of Cleveland pp. 3 -68. https://www.clevelandfed.org/newsroom-and-events/publications/working-papers/2011-working-papers/wp-1130r3-the-financial-stress-index-identification-of-systemic-risk-conditions
Van, R. (2011). Financial stress and economic activity in Germany and the Euro Area, Kiel Working Paper, no. 1743, pp. 1 - 35. https://www.econstor.eu/bitstream/10419/53149/1/679405372.pdf
Yiu, S., Ho, A. and Jin, L. (2010). A measure of financial stress in Hong Kong financial market–the financial stress index. Hong Kong Monetary Authority. Research Note, no. 2, pp. 2 – 8.
Sitios de internet:
Fondo Monetario Internacional: https://www.imf.org/external/np/mfd/er/2006/eng/0706.htm
MSCI: https://www.msci.com/market-classification
Alexander, C. (1998). Volatility and correlation: measurement, models and applications, Risk management and analysis, vol. 1, pp. 125-171.
Alexander, C. (2000). A primer on the orthogonal GARCH model. Manuscript ISMA Centre University of Reading. UK, pp. 1 – 40.
Alexander, C. (2000). Orthogonal methods for generating large positive semi-definite covariance matrices. ISMA Centre Discussion Papers in Finance, vol. 2000, no. 6, pp. 2 -23. www.ismacentre.rdg.ac.uk
Alexander, C. (2001). Orthogonal GARCH. Mastering Risk, vol. 2, pp. 21- 38.
Alexander, C. and Chibumba, A. (1996). Multivariate Orthogonal Factor GARCH models. University of Sussex Discussion papers in mathematics.
Alexander, C. and Leigh, C. (1997). On the covariance matrices used in VaR models, Journal of Derivatives, no. 3, pp. 50-62.
Bloom, N. (2009), The Impact of Uncertainty Shocks, Econometrica, vol. 77 (3), pp. 623-685. https://doi.org/10.3982/ECTA6248
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, vol. 31, pp. 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
Borio, C. and Drehmann, M. (2009). Assessing the risk of banking crises revisited. BIS Quarterly Review, pp. 29 – 46. https://www.bis.org/publ/qtrpdf/r_qt0903.pdf
Borio, C. and Lowe, P. (2002). Assesing the risk of banking crises. BIS Quarterly Review, pp. 43 – 54. https://www.bis.org/publ/qtrpdf/r_qt0212e.pdf
Brave, S and Butters, R. (2011). Monitoring financial stability: A financial conditions index approach, Economic Perspectives, Vol. 35, no. 1, pp. 22 -43.
Cardarelli, R., Elekdag, S. and Lall, S. (2011). Financial stress and economic contractions. Journal of Financial Stability, vol. 7(2), pp. 78-97. https://doi.org/10.1016/j.jfs.2010.01.005
Cont, R. (2005). Modeling term structure dynamics: an infinite dimensional approach, International Journal of theoretical and applied finance, vol. 8, no. 3, pp. 357 – 380. https://doi.org/10.1142/S0219024905003049
Davig, T. and Hakkio, C. (2010). What is the Effect of Financial Stress on Economic Activity. Economic Review, vol. 95, no. 2, pp. 35–62.
Domanski, D and Ng, T. (2011). Getting effective macroprudential policy on the road: eight propositions, BIS papers, no. 60, pp. 89 - 96. https://www.bis.org/publ/bppdf/bispap60.pdf#page=103
Eichler, S., Karmann, A. and Maltritz, D. (2009). The ADR Shadow Exchange Rate as an Early Warning Indicator for Currency Crises, Journal of Banking and Finance, vol. 33, no. 11, pp. 1983-1995. https://doi.org/10.1016/j.jbankfin.2009.04.019
Engle, Robert F.; Ng, Victor K.; Rothschild, Michael (1990). Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills, Journal of Econometrics, Volume 45, Issues 1–2, pp. 213-237, https://doi.org/10.1016/0304-4076(90)90099-F
Grimaldi, B. (2010). Detecting and interpreting financial stress in the euro area,. Working Papers series no. 1214, Frankfurt: European Central Bank.
Hakkio, C. and Keeton, W. (2009). Financial Stress: What Is It, How Can It be Measured, and Why Does It Matter, Economic Review, vol. 94, no. 2, pp. 5 – 50.
Hatzius, J., Hooper, P., Mishkin, F., Schoenholtz, K., Watson, M. (2010). Financial Conditions Indexes: A Fresh Look after the Financial Crisis, NBER Working Paper, no. 16150, pp. 1 - 56. https://www.nber.org/papers/w16150.pdf
Hollo, D., Kremer , M. and Lo Duca, M. (2012). CISS - a composite indicator of systemic stress in the financial system, , Working Paper Series no. 1426, European Central Bank pp. 1 – 49. https://www.econstor.eu/bitstream/10419/153859/1/ecbwp1426.pdf
Illing, M. y Liu, y. (2006), Measuring Financial Stress in a Developed Country: An Application to Canada, Journal of Financial Stability, vol. 2, no. 3, pp. 243-265.
Kliesen, K. and Smith, D. (2010). Measuring financial market stress, Economic synopses, no.2, pp. 1- 2. https://files.stlouisfed.org/files/htdocs/publications/es/10/ES1002.pdf
Kroszner RS, Shiller RJ (2011), Reforming U.S. Financial Markets. Reflections Before and Beyond Dodd-Frank. Cambridge, MA: The MIT Press.
Litterman, R. and Scheinkman, J. (1991). Common Factors Affecting Bond Returns. Journal of Fixed Income Summer, vol. 1, no. 1, pp. 54-61. https://doi.org/10.3905/jfi.1991.692347
Lo Duca, M. and Peltonen T. (2011). Macro – financial vulnerabilities and future financial stress: assessing systemic risk and predicting systemic events., Working Paper Series no. 1311, pp. 4 – 28. European Central Bank. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1311.pdf
Louzis, D., Vouldis, A. (2013). A financial systemic stress index for Greece. Working Paper Series No. 1563. European Central Bank. https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1563.pdf
Martínez, Carlos y Núñez, José A. (2012). Análisis de componentes principales de la estructura a plazos de las tasas de interés en México, Eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, no. 33 pp.3-23.
Misina, M. and Tkacz, C. (2009). Credit, Asset Prices, and Financial Stress, International Journal of Central Banking, vol. 5, no. 4, pp. 95-122.
Mota y Núñez, (2015). Teoría y Aplicaciones en la Administración de Riesgos. México: Porrúa-UAM.
Nelson, W. R., y Perli, R. (2007). Selected indicators of financial stability. Risk Measurement and Systemic Risk, vol. 4, pp. 343 – 372.
Ng, T. (2011). The predictive content of financial cycle measures for output fluctuations, BIS Quarterly Review, pp. 53 – 65. https://www.bis.org/publ/qtrpdf/r_qt1106g.pdf
Oet, M., Eiben, R., Bianco, T., Gramlich, D. and Ong, S. (2011). The Financial Stress Index: Identification of Systemic Risk Conditions. Working Paper 1130, Federal Reserve Bank of Cleveland pp. 3 -68. https://www.clevelandfed.org/newsroom-and-events/publications/working-papers/2011-working-papers/wp-1130r3-the-financial-stress-index-identification-of-systemic-risk-conditions
Van, R. (2011). Financial stress and economic activity in Germany and the Euro Area, Kiel Working Paper, no. 1743, pp. 1 - 35. https://www.econstor.eu/bitstream/10419/53149/1/679405372.pdf
Yiu, S., Ho, A. and Jin, L. (2010). A measure of financial stress in Hong Kong financial market–the financial stress index. Hong Kong Monetary Authority. Research Note, no. 2, pp. 2 – 8.
Sitios de internet:
Fondo Monetario Internacional: https://www.imf.org/external/np/mfd/er/2006/eng/0706.htm
MSCI: https://www.msci.com/market-classification
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Publicado
2021-05-03
Cómo citar
Mota Aragón, M. B., Álvarez del Castillo, R., & Núñez Mora, J. A. (2021). Índice de estrés en los Mercados Financieros Emergentes. Análisis Económico, 36(92), 29–44. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/589
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