Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov
Financial systems are considered to be one of the determinants of economic growth; these systems typically fall into two categories, banking and stock market. The literature on factors such as domestic credit to the private sector, traded shares (% of GDP), GDP per capita and inflation can be indica...
- Autores:
-
Anzola, Camilo
Vargas Pachon, Paola Sophia
Méndez-Morales, Edgard Alberto
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2019
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- Corporación Universidad de la Costa
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- spa
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- https://hdl.handle.net/11323/5857
https://doi.org/10.17981/econcuc.40.1.2019.08
https://repositorio.cuc.edu.co/
- Palabra clave:
- Sistemas financieros
Cadenas de Markov
OCDE
Bancos
Bolsas de valores
Financial systems
Markov chains
OECD
Banks
Stock exchanges
- Rights
- openAccess
- License
- CC0 1.0 Universal
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| dc.title.spa.fl_str_mv |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| dc.title.translated.spa.fl_str_mv |
Transitions between banking and stock market financial systems. A Switching Markov model approach |
| title |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| spellingShingle |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov Sistemas financieros Cadenas de Markov OCDE Bancos Bolsas de valores Financial systems Markov chains OECD Banks Stock exchanges |
| title_short |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| title_full |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| title_fullStr |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| title_full_unstemmed |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| title_sort |
Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov |
| dc.creator.fl_str_mv |
Anzola, Camilo Vargas Pachon, Paola Sophia Méndez-Morales, Edgard Alberto |
| dc.contributor.author.spa.fl_str_mv |
Anzola, Camilo Vargas Pachon, Paola Sophia Méndez-Morales, Edgard Alberto |
| dc.subject.spa.fl_str_mv |
Sistemas financieros Cadenas de Markov OCDE Bancos Bolsas de valores Financial systems Markov chains OECD Banks Stock exchanges |
| topic |
Sistemas financieros Cadenas de Markov OCDE Bancos Bolsas de valores Financial systems Markov chains OECD Banks Stock exchanges |
| description |
Financial systems are considered to be one of the determinants of economic growth; these systems typically fall into two categories, banking and stock market. The literature on factors such as domestic credit to the private sector, traded shares (% of GDP), GDP per capita and inflation can be indicators of transition from one type of financial state to another. Therefore, the main contribution of this article is to determine the probability of transition between states of the banking financial system to a stock market and vice versa, present in emerging Latin American countries such as Mexico, Colombia, Brazil and Chile (belonging to the OECD). To perform these calculations, a twostate Switching Markov methodology is used as an analysis tool for the study period 2000-2016, with data from the World Bank in the financial information group. The results obtained reflect how over time, most countries remain in a single state, ie, despite international economic conditions there is no transition or changes in the financial system. |
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2019-04-17 |
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2020-01-17T19:29:33Z |
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Anzola Morales, C., Vargas Pachón, P., & Morales, A. (2019). Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov. ECONÓMICAS CUC, 40(1). https://doi.org/10.17981/econcuc.40.1.2019.08 |
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2382-3860 |
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Corporación Universidad de la Costa |
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REDICUC - Repositorio CUC |
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Anzola Morales, C., Vargas Pachón, P., & Morales, A. (2019). Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov. ECONÓMICAS CUC, 40(1). https://doi.org/10.17981/econcuc.40.1.2019.08 0120-3932, 2382-3860 electrónico 10.17981/econcuc.40.1.2019.08 2382-3860 Corporación Universidad de la Costa 0120-3932 REDICUC - Repositorio CUC |
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ECONÓMICAS CUC; Vol. 40, Núm. 1 (2019) |
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ECONÓMICAS CUC ECONÓMICAS CUC |
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Aghion, P., Howitt, P. & Mayer-Foulkes, D. (2005).The Effecto Financial Development on Convergence: Theory and Evidence. The Quarterly Journal of Economics, 120(1). 173–222. http://dx.doi. org/10.1162/0033553053327515 Allen, F., Bartiloro, L., Gu, X. & Kowalewski, O. (2018). Does economic structure determine financial structure? Journal of International Economics, 114(1). 389–409. http://dx.doi. org/10.1016/J.JINTECO.2018.08.004 Allen, F. & Gale, D. (2000). Comparing financial systems. Cambridge: MIT Press. Allen, F., Gu, X. & Kowalewski, O. (2017). Financial Structure, Economic Growth and Development. [IÉSEG Working Paper Series 2017-ACF-04]. Recuperado de https://papers.ssrn.com/sol3/pa-pers.cfm?abstract_id=3035298 Beck, T. & Levine, R. (2002). Industry growth and capital allocation:: does having a market- or bank-based sys-tem matter? Journal of Financial Economics, 64(2). 147–180. http://dx.doi. org/10.1016/S0304-405X(02)00074-0 Betancourt, R., Misas, M. y Bonilla, L. (2011). La transmisión de las tasas de interés en Colombia: un enfoque multivariado con cambio de régimen [Pre-sentación]. Recuperado de http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/mec4.pdf Bruno, G., De Bonis, R. & Silvestrini, A. (2012). Do financial systems converge? New evidence from financial assets in OECD countries. Journal of Comparative Economics, 40(1). 141–155. http:// dx.doi.org/10.1016/J.JCE.2011.09.003 Calvo, A. Parejo, J., Rodríguez, L. y Cuervo, Á. (2014). Manual del sistema financiero español (25 ed.). Barcelona: Ariel Economía y Empresa. Čihák, M., Demirgüç-Kunt, A., Feyen, E. & Levine, R. (2012). Benchmarking Financial Systems Around the World. [Working Paper 6175]. Washington, D.C.: World Bank. http:// documents.worldbank.org/cura-ted/en/868131468326381955/pdf/ wps6175.pdf Demirgü-Kunt, A. & Levine, R. (2001). Financial structure and economic growth: a cross-country comparison of banks, markets, and development. Cambridge: MIT Press. Dong, K., Hong, S. & Myung, H. (2018). ‘A study on Classification of Insider threat using Markov Chain Model’, KSII Transactions on Internet and Information Systems, 12(4). http://dx.doi. org/10.3837/tiis.2018.04.027. Ergungor, O. (2004). Market- vs. bank-based financial systems: Do rights and regulations really matter? Journal of Banking & Finance, 28(12). 2869–2887. http://dx.doi.org/10.1016/J.JBANKFIN.2003.04.001 Freixas, X. & Rochet, J-C. (2008). Microeconomics of banking. Cambridge: MIT Press. Gerschenkron, A. (1962). Economic backwardness in historical perspective : a book of essays. Cambridge: Harvard University Press. Goutte, S. (2014). Conditional Markov re-gime switching model applied to economic modelling. Economic Modelling, 38(c), 258-269. http://dx.doi. org/10.1016/j.econmod.2013.12.007 Herger, N., Hodler, R. & Lobsiger, M. (2008). What Determines Financial Development? Culture, Institutions or Trade’, Review of World Economics, 144(3). 558–587. http://dx.doi. org/10.1007/s10290-008-0160-1 IMF, IFS and data files, and World Bank and OECD GDP estimates. (julio 10, 2018). Domestic credit to private sector by banks (% of GDP). [Fichero de datos]. Recuperado de https://data. worldbank.org/indicator/FS.AST. PRVT.GD.ZS Kaufmann, S. & Valderrama, M. (2008). Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country? International Journal of Fi-nance & Economics, 13(3). 266–279. http://dx.doi.org/10.1002/ijfe.345 Lee, B. (2012). Bank-based and market-based financial systems: Time-series evidence. Pacific-Basin Fi-nance Journal, 20(2). 173–197. http://dx.doi.org/10.1016/J.PAC-FIN.2011.07.006 Levine, R. (2002). Bank-Based or Market-Based Financial Systems: Which is Better? [Working Paper 9138]. http:// dx.doi.org/10.3386/w9138 Levine, R. (1997). Financial Develop-ment and Economic Growth: Views and Agenda. Journal of Economic Literature, 35(2). 688–726. Recuperado de https://www.jstor.org/ stable/2729790 Levine, R. & Zervos, S. (1999). Stock Mar-kets, Banks, and Economic Growth. The World Bank (Policy Research Working Papers). http://dx.doi. org/10.1596/1813-9450-1690 Levine, R., Beck, T. & Maksimovic, V. (2000). Financial Structure and Economic Development: Firm, Industry, and Country Evidence. [WPS2423]. http://dx.doi.org/10.1596/1813-9450-2423 López, E. y Joa, L. (2001). Markov chains applied to the analyzis of the prog-ress of research projets. Revista cubana de informatica medica, 9(1). 44–51. Recuperado de http://www. medigraphic.com/cgi-bin/new/resu-menI.cgi?IDARTICULO=72043 Luintel, K., Khan., M., Arestis, P. & Theo-doriditis, K. (2008). Financial structure and economic growth. Journal of Development Economics, 86(1). 181–200. http://dx.doi.org/10.1016/J. JDEVECO.2007.11.006 Merton, R. (1995). A Functional Perspective of Financial Intermediation. Financial Management, 24(2). 23–41. http://dx.doi.org/10.2307/3665532 Prochniak, M. & Wasiak, K. (2017). The impact of the financial system on economic growth in the context of the global crisis: empirical evidence for the EU and OECD countries. Empirica, 44(2). 295–337. http:// dx.doi.org/10.1007/s10663-016 - 9323-9 Pussetto, L. (2008). Sistema financiero y crecimiento económico: Un misterio sin resolver. Palermo Business Review, 1(1). 47–60. Disponible en https://www.palermo.edu/economi-cas/cbrs/pdf/1Business04.pdf Rajan, R. & Zingales, L. (1998). Financial Dependence and Growth. [Working Paper 5758]. http://dx.doi. org/10.3386/w5758 Rajan, R. & Zingales, L. (2003). Banks and Markets: The Changing Character of European Finance. [CRSP Working Paper No. 546]. http://dx.doi.org/10.2139/ssrn.389100 Russ, K. & Valderrama, D. (2012). A the-ory of bank versus bond finance and intra-industry reallocation. Journal of Macroeconomics, 34(3). 652–673. http://dx.doi.org/10.1016/J.JMA-CRO.2012.05.004 Stulz, R. (2000). Financial Structure, Corporate Finance and Economic Growth. International Review of Finance, 1(1). 11–38. http://dx.doi. org/10.1111/1468-2443.00003 Terceño, A. y Guercio, B. (2011). El crecimiento económico y el desarrollo del sistema financiero. Un análisis comparativo. Investigaciones Euro-peas de Dirección y Economía de la Empresa. 17(2). 33–46. http://dx.doi. org/10.1016/S1135-2523(12)60051-3 Zogning, F. (2017). Comparing financial systems around the world: capital markets, legal systems, and governance regimes. Economics, Management, and Financial Markets, 12(4). 43–58. http://dx.doi. org/10.22381/EMFM12420172 |
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Anzola, CamiloVargas Pachon, Paola SophiaMéndez-Morales, Edgard Alberto2020-01-17T19:29:33Z2020-01-17T19:29:33Z2019-04-17Anzola Morales, C., Vargas Pachón, P., & Morales, A. (2019). Transición entre sistemas financieros bancarios y bursátiles. Una aproximación mediante modelo de Swithing Markov. ECONÓMICAS CUC, 40(1). https://doi.org/10.17981/econcuc.40.1.2019.080120-3932, 2382-3860 electrónicohttps://hdl.handle.net/11323/5857https://doi.org/10.17981/econcuc.40.1.2019.0810.17981/econcuc.40.1.2019.082382-3860Corporación Universidad de la Costa0120-3932REDICUC - Repositorio CUChttps://repositorio.cuc.edu.co/Financial systems are considered to be one of the determinants of economic growth; these systems typically fall into two categories, banking and stock market. The literature on factors such as domestic credit to the private sector, traded shares (% of GDP), GDP per capita and inflation can be indicators of transition from one type of financial state to another. Therefore, the main contribution of this article is to determine the probability of transition between states of the banking financial system to a stock market and vice versa, present in emerging Latin American countries such as Mexico, Colombia, Brazil and Chile (belonging to the OECD). To perform these calculations, a twostate Switching Markov methodology is used as an analysis tool for the study period 2000-2016, with data from the World Bank in the financial information group. The results obtained reflect how over time, most countries remain in a single state, ie, despite international economic conditions there is no transition or changes in the financial system.Los sistemas financieros se consideran como uno de los factores determinantes para el crecimiento económico; estos sistemas típicamente se reúnen en dos categorías, bancarios y bursátiles. La literatura referente evidencia a factores como el crédito interno al sector privado, las acciones negociadas (% del PIB), el PIB percápita y la inflación, pueden ser indicadores de transición de un tipo de estado financiero a otro. Por consiguiente, el aporte principal del presente artículo es determinar la probabilidad de transición entre estados del sistema financiero bancario a uno bursátil y viceversa, presentes en países latinoamericanos emergentes como México, Colombia, Brasil y Chile (pertenecientes a la Organización para la Cooperación y el Desarrollo Económicos-OECD). Para realizar estos cálculos se utiliza una metodología Switching Markov de dos estados como herramienta de análisis para el periodo de estudio comprendido entre 2000-2016, con datos provenientes del Banco Mundial en el grupo de información financiera. Los resultados obtenidos reflejan como a través del tiempo, la mayoría de los países se mantienen en un solo estado, es decir, a pesar de las condiciones económicas internacionales no existe transición o cambios de sistema financiero.Anzola, Camilo-will be generated-orcid-0000-0003-1375-2597-600Vargas Pachon, Paola Sophia-will be generated-orcid-0000-0002-6386-4557-600Méndez Morales, Edgard Alberto-will be generated-orcid-0000-0001-7971-5305-600application/pdfspaCorporación Universidad de la CostaECONÓMICAS CUC; Vol. 40, Núm. 1 (2019)ECONÓMICAS CUCECONÓMICAS CUCAghion, P., Howitt, P. & Mayer-Foulkes, D. (2005).The Effecto Financial Development on Convergence: Theory and Evidence. The Quarterly Journal of Economics, 120(1). 173–222. http://dx.doi. org/10.1162/0033553053327515Allen, F., Bartiloro, L., Gu, X. & Kowalewski, O. (2018). Does economic structure determine financial structure? Journal of International Economics, 114(1). 389–409. http://dx.doi. org/10.1016/J.JINTECO.2018.08.004Allen, F. & Gale, D. (2000). Comparing financial systems. Cambridge: MIT Press.Allen, F., Gu, X. & Kowalewski, O. (2017). Financial Structure, Economic Growth and Development. [IÉSEG Working Paper Series 2017-ACF-04]. Recuperado de https://papers.ssrn.com/sol3/pa-pers.cfm?abstract_id=3035298Beck, T. & Levine, R. (2002). Industry growth and capital allocation:: does having a market- or bank-based sys-tem matter? Journal of Financial Economics, 64(2). 147–180. http://dx.doi. org/10.1016/S0304-405X(02)00074-0Betancourt, R., Misas, M. y Bonilla, L. (2011). La transmisión de las tasas de interés en Colombia: un enfoque multivariado con cambio de régimen [Pre-sentación]. Recuperado de http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/mec4.pdfBruno, G., De Bonis, R. & Silvestrini, A. (2012). Do financial systems converge? New evidence from financial assets in OECD countries. Journal of Comparative Economics, 40(1). 141–155. http:// dx.doi.org/10.1016/J.JCE.2011.09.003Calvo, A. Parejo, J., Rodríguez, L. y Cuervo, Á. (2014). Manual del sistema financiero español (25 ed.). Barcelona: Ariel Economía y Empresa.Čihák, M., Demirgüç-Kunt, A., Feyen, E. & Levine, R. (2012). Benchmarking Financial Systems Around the World. [Working Paper 6175]. Washington, D.C.: World Bank. http:// documents.worldbank.org/cura-ted/en/868131468326381955/pdf/ wps6175.pdfDemirgü-Kunt, A. & Levine, R. (2001). Financial structure and economic growth: a cross-country comparison of banks, markets, and development. Cambridge: MIT Press.Dong, K., Hong, S. & Myung, H. (2018). ‘A study on Classification of Insider threat using Markov Chain Model’, KSII Transactions on Internet and Information Systems, 12(4). http://dx.doi. org/10.3837/tiis.2018.04.027.Ergungor, O. (2004). Market- vs. bank-based financial systems: Do rights and regulations really matter? Journal of Banking & Finance, 28(12). 2869–2887. http://dx.doi.org/10.1016/J.JBANKFIN.2003.04.001Freixas, X. & Rochet, J-C. (2008). Microeconomics of banking. Cambridge: MIT Press.Gerschenkron, A. (1962). Economic backwardness in historical perspective : a book of essays. Cambridge: Harvard University Press.Goutte, S. (2014). Conditional Markov re-gime switching model applied to economic modelling. Economic Modelling, 38(c), 258-269. http://dx.doi. org/10.1016/j.econmod.2013.12.007Herger, N., Hodler, R. & Lobsiger, M. (2008). What Determines Financial Development? Culture, Institutions or Trade’, Review of World Economics, 144(3). 558–587. http://dx.doi. org/10.1007/s10290-008-0160-1IMF, IFS and data files, and World Bank and OECD GDP estimates. (julio 10, 2018). Domestic credit to private sector by banks (% of GDP). [Fichero de datos]. Recuperado de https://data. worldbank.org/indicator/FS.AST. PRVT.GD.ZSKaufmann, S. & Valderrama, M. (2008). Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country? International Journal of Fi-nance & Economics, 13(3). 266–279. http://dx.doi.org/10.1002/ijfe.345Lee, B. (2012). Bank-based and market-based financial systems: Time-series evidence. Pacific-Basin Fi-nance Journal, 20(2). 173–197. http://dx.doi.org/10.1016/J.PAC-FIN.2011.07.006Levine, R. (2002). Bank-Based or Market-Based Financial Systems: Which is Better? [Working Paper 9138]. http:// dx.doi.org/10.3386/w9138Levine, R. (1997). Financial Develop-ment and Economic Growth: Views and Agenda. Journal of Economic Literature, 35(2). 688–726. Recuperado de https://www.jstor.org/ stable/2729790Levine, R. & Zervos, S. (1999). Stock Mar-kets, Banks, and Economic Growth. The World Bank (Policy Research Working Papers). http://dx.doi. org/10.1596/1813-9450-1690Levine, R., Beck, T. & Maksimovic, V. (2000). Financial Structure and Economic Development: Firm, Industry, and Country Evidence. [WPS2423]. http://dx.doi.org/10.1596/1813-9450-2423López, E. y Joa, L. (2001). Markov chains applied to the analyzis of the prog-ress of research projets. Revista cubana de informatica medica, 9(1). 44–51. Recuperado de http://www. medigraphic.com/cgi-bin/new/resu-menI.cgi?IDARTICULO=72043Luintel, K., Khan., M., Arestis, P. & Theo-doriditis, K. (2008). Financial structure and economic growth. Journal of Development Economics, 86(1). 181–200. http://dx.doi.org/10.1016/J. JDEVECO.2007.11.006Merton, R. (1995). A Functional Perspective of Financial Intermediation. Financial Management, 24(2). 23–41. http://dx.doi.org/10.2307/3665532Prochniak, M. & Wasiak, K. (2017). The impact of the financial system on economic growth in the context of the global crisis: empirical evidence for the EU and OECD countries. Empirica, 44(2). 295–337. http:// dx.doi.org/10.1007/s10663-016 - 9323-9Pussetto, L. (2008). Sistema financiero y crecimiento económico: Un misterio sin resolver. 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