Análisis de corto plazo del contagio de variables y noticias financieras en estados unidos y Colombia
Palavras-chave:
Volatilidad , choques, transmisión financiera, índices búrsatilesResumo
Este documento analiza el efecto contagio de las variables bursátiles, monetarias y financieras de Estados Unidos sobre el comportamiento de estas en Colombia a través de pruebas de causalidad de Granger y un modelo de Vectores Autorregresivos (VAR) que nos arroja los impulso-respuesta entre variables y el efecto de noticias financieras.
La investigación
revela
una mayor correlación en las variables bursátiles que en las de renta fija y que los choques de corto plazo son más frecuentes en este mercado.
Durante períodos de turbulencia se comprueba el aumento en la volatilidad debido al incremento en el número de noticias, la persistencia de los choques se incrementa, lo que se conoce como histéresis y la anticipación por parte del mercado bursátil colombiano de choques esperados, reflejado en un aumento en las volatilidades de estas antes que en las estadounidenses.
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