Una aproximación a los determinantes de la prima de riesgo soberana en Colombia

Ilustraciones, gráficas

Autores:: Galeano Ramírez, Franky Juliano

Tipo de recurso:

Fecha de publicación:: 2022

Institución:: Universidad Nacional de Colombia

Repositorio:: Universidad Nacional de Colombia

Idioma:: spa

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dc.title.spa.fl_str_mv	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
dc.title.translated.eng.fl_str_mv	An approximation to the determinants of sovereign risk premium in Colombia
title	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
spellingShingle	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia 330 - Economía::339 - Macroeconomía y temas relacionados Economic indicators Economic forecasting Economic evaluation Indicadores de economía Pronóstico de la economía Evaluación aconómica Determinantes de la prima de riesgo de los bonos soberanos/ gubernamentales Colombia Riesgo de impago Riesgo de crédito Credit Default Swaps EMBI Diferencial de los bonos soberanos Países en desarrollo y mercados emergentes Determinants of sovereign/government bond risk premium Credit/default risk Credit Default Swaps spreads Sovereign bond spreads EMBI Emerging and developing countries Colombia
title_short	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
title_full	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
title_fullStr	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
title_full_unstemmed	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
title_sort	Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
dc.creator.fl_str_mv	Galeano Ramírez, Franky Juliano
dc.contributor.advisor.none.fl_str_mv	Quicazan Moreno, Carlos Andrés Ruiz Martínez, Carlos Alberto
dc.contributor.author.none.fl_str_mv	Galeano Ramírez, Franky Juliano
dc.subject.ddc.spa.fl_str_mv	330 - Economía::339 - Macroeconomía y temas relacionados
topic	330 - Economía::339 - Macroeconomía y temas relacionados Economic indicators Economic forecasting Economic evaluation Indicadores de economía Pronóstico de la economía Evaluación aconómica Determinantes de la prima de riesgo de los bonos soberanos/ gubernamentales Colombia Riesgo de impago Riesgo de crédito Credit Default Swaps EMBI Diferencial de los bonos soberanos Países en desarrollo y mercados emergentes Determinants of sovereign/government bond risk premium Credit/default risk Credit Default Swaps spreads Sovereign bond spreads EMBI Emerging and developing countries Colombia
dc.subject.lemb.eng.fl_str_mv	Economic indicators Economic forecasting Economic evaluation
dc.subject.lemb.esp.fl_str_mv	Indicadores de economía
dc.subject.lemb.spa.fl_str_mv	Pronóstico de la economía Evaluación aconómica
dc.subject.proposal.spa.fl_str_mv	Determinantes de la prima de riesgo de los bonos soberanos/ gubernamentales Colombia Riesgo de impago Riesgo de crédito Credit Default Swaps EMBI Diferencial de los bonos soberanos Países en desarrollo y mercados emergentes
dc.subject.proposal.eng.fl_str_mv	Determinants of sovereign/government bond risk premium Credit/default risk Credit Default Swaps spreads Sovereign bond spreads EMBI Emerging and developing countries Colombia
description	Ilustraciones, gráficas
publishDate	2022
dc.date.accessioned.none.fl_str_mv	2022-12-12T14:21:37Z
dc.date.available.none.fl_str_mv	2022-12-12T14:21:37Z
dc.date.issued.none.fl_str_mv	2022
dc.type.spa.fl_str_mv	Trabajo de grado - Maestría
dc.type.driver.spa.fl_str_mv	info:eu-repo/semantics/masterThesis
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dc.type.content.spa.fl_str_mv	Text
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dc.identifier.instname.spa.fl_str_mv	Universidad Nacional de Colombia
dc.identifier.reponame.spa.fl_str_mv	Repositorio Institucional Universidad Nacional de Colombia
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url	https://repositorio.unal.edu.co/handle/unal/82852 https://repositorio.unal.edu.co/
identifier_str_mv	Universidad Nacional de Colombia Repositorio Institucional Universidad Nacional de Colombia
dc.language.iso.spa.fl_str_mv	spa
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dc.relation.references.spa.fl_str_mv	Acosta, A., Barráez, D., Pérez, D., & Urbina, M. (2015). “Country Risk, Macroeconomic Fundamentals and Uncertainty in Latin American Economies”. Monetaria, 3(2), 147-174. Alexandre, H., & De Ben’oist, A. (2017). “Petrol Prices and Government Bond Risk Premium”. Alfaro, R. A., Medel, C. A., & Moreno, C. (2017). An analysis of the impact of external financial risks on the sovereign risk premium of Latin American economies. Revista de Analisis Economico–Economic Analysis Review, 32(2), 131-153. Aronovich, S. (1999). Country risk premium: Theoretical determinants and empirical evidence for Latin American countries. Revista Brasileira de Economia, 53, 463-498. Augustin, P. (2014). Sovereign credit default swap premia. Forthcoming, Journal of Investment Management. Augustin, P., Sokolovski, V., Subrahmanyam, M. G., & Tomio, D. (2022). In sickness and in debt: The COVID-19 impact on sovereign credit risk. Journal of Financial Economics, 143(3), 1251-1274. Bánbura, M. & Modugno, M. (2014). Maximum likelihood estimation of factor models on datasets with arbitrary pattern of missing data. Journal of applied econometrics, 29(1):133– 160. Banco de la República (2018). Calificaciones crediticias soberanas. Informe al Congreso de la República, Recuadro 5. marzo de 2018. Banco de la República. (2022). Invasión de Rusia a Ucrania: consideraciones sobre el contexto económico internacional. Informe de la Junta Directiva al Congreso de la República, Recuadro 1. marzo de 2022. Banco Mundial (2022). Global economic prospects, June 2022. The World Bank. Beirne, J., Renzhi, N., & Volz, U. (2021). Feeling the heat: Climate risks and the cost of sovereign borrowing. International Review of Economics & Finance, 76, 920-936. Bernanke, B. S., Boivin, J., and Eliaz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1):387–422. Bekaert, G., Harvey, C. 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dc.format.extent.spa.fl_str_mv	xi, 65 páginas
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dc.coverage.country.none.fl_str_mv	Colombia
dc.publisher.spa.fl_str_mv	Universidad Nacional de Colombia
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dc.publisher.faculty.spa.fl_str_mv	Facultad de Ciencias Económicas
dc.publisher.place.spa.fl_str_mv	Bogotá, Colombia
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spelling	Atribución-NoComercial-SinDerivadas 4.0 Internacionalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Quicazan Moreno, Carlos Andrésccc93493db027b79e2976b3b785b00ecRuiz Martínez, Carlos Albertoe5634f796b12b2211b1689456d3ed5c5Galeano Ramírez, Franky Julianoc9be7e9e4f07a5b64d8e88a4a8f2b3c72022-12-12T14:21:37Z2022-12-12T14:21:37Z2022https://repositorio.unal.edu.co/handle/unal/82852Universidad Nacional de ColombiaRepositorio Institucional Universidad Nacional de Colombiahttps://repositorio.unal.edu.co/Ilustraciones, gráficasEl estudio de los determinantes del riesgo soberano ha tenido un amplio interés en la literatura económica y el contexto económico de la pandemia del Covid-19 ha exaltado su importancia. En el caso de Colombia, durante este período la calificación crediticia se sitúo por debajo del grado de inversión y se han registrado aumentos significativos del costo de financiamiento público. Así, con el objetivo de contribuir y agregar elementos a la discusión sobre los principales determinantes del riesgo soberano del país, esta investigación hace uso de un modelo Markov Switching y de un modelo de vectores autorregresivos aumentado por factores (SFAVAR). Los resultados del primer modelo sugieren que los períodos de estrés generan cambios en los regímenes estimados, en su caracterización y, por ende, en la convergencia de la prima. Adicionalmente, se encuentra una relación entre los períodos sin grado de inversión y una alta probabilidad de situarse en regímenes de primas de riesgo medias o altas. De la segunda aproximación econométrica se encuentra que las condiciones financieras internacionales, la percepción de riesgo en emergentes y los choques externos específicos del país tienen impactos estadísticamente significativos sobre los spreads soberanos de Colombia. Por su parte, caídas en la actividad económica y deterioros en los indicadores fiscales, si bien ejercen presiones al alza, tienen poca incidencia. Por último, haciendo uso de la descomposición histórica de choques se encuentra que a finales de 2021 el aumento de las primas de riesgo en del país fue resultado, en parte, de la mayor percepción de riesgo en emergentes, las condiciones financieras internacionales menos favorables y los desbalances macroeconómicos del país. (Texto tomado de la fuente)The study of sovereign risk premia drivers has have a huge interest in economic literature and the current economic backdrop with the pandemic has exalted its relevance. In Colombia, during this period the credit rating was downgraded below the investment grade and the public funding cost increased significantly. Thus, in order to contribute and postulate some ideas to the discussion about the main drivers of the Colombian sovereign risk, this work uses a Markov Swicthing model and a Factor Aumented Vector Auroregression model (SFAVAR). The first model results suggests that stress periods induces changes in the estimation, in the transition, in the duration and, as a consecuence, in the risk prime convergence. Furthermore, it finds a relationship between the periods without the investment grade and a high likelyhood associated with a medium or high regime risk premia. Also, it finds from the second econometric aproximation that the international financial conditions, the risk perception for emerging markets and the country especific foreign shocks have statistically sifnificant impact on the Colombian sovereign spreads. On the other side, the output falls and fiscal deterioration put upward pressures, although those factors have a little impact. Finally, if we use the historical shock decomposition we find that the prime risk increase at the end of 2021 was a parcial outcome of the greater risk perception for emerging economies, the financial distress and the country macroeconomic imbalances.MaestríaMagíster en Ciencias Económicasxi, 65 páginasapplication/pdfspaUniversidad Nacional de ColombiaBogotá - Ciencias Económicas - Maestría en Ciencias EconómicasFacultad de Ciencias EconómicasBogotá, ColombiaUniversidad Nacional de Colombia - Sede Bogotá330 - Economía::339 - Macroeconomía y temas relacionadosEconomic indicatorsEconomic forecastingEconomic evaluationIndicadores de economíaPronóstico de la economíaEvaluación aconómicaDeterminantes de la prima de riesgo de los bonos soberanos/ gubernamentalesColombiaRiesgo de impagoRiesgo de créditoCredit Default SwapsEMBIDiferencial de los bonos soberanosPaíses en desarrollo y mercados emergentesDeterminants of sovereign/government bond risk premiumCredit/default riskCredit Default Swaps spreadsSovereign bond spreadsEMBIEmerging and developing countriesColombiaUna aproximación a los determinantes de la prima de riesgo soberana en ColombiaAn approximation to the determinants of sovereign risk premium in ColombiaTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/acceptedVersionTexthttp://purl.org/redcol/resource_type/TMColombiaAcosta, A., Barráez, D., Pérez, D., & Urbina, M. (2015). “Country Risk, Macroeconomic Fundamentals and Uncertainty in Latin American Economies”. Monetaria, 3(2), 147-174.Alexandre, H., & De Ben’oist, A. (2017). “Petrol Prices and Government Bond Risk Premium”.Alfaro, R. A., Medel, C. A., & Moreno, C. (2017). An analysis of the impact of external financial risks on the sovereign risk premium of Latin American economies. Revista de Analisis Economico–Economic Analysis Review, 32(2), 131-153.Aronovich, S. (1999). Country risk premium: Theoretical determinants and empirical evidence for Latin American countries. Revista Brasileira de Economia, 53, 463-498.Augustin, P. (2014). Sovereign credit default swap premia. Forthcoming, Journal of Investment Management.Augustin, P., Sokolovski, V., Subrahmanyam, M. G., & Tomio, D. (2022). In sickness and in debt: The COVID-19 impact on sovereign credit risk. Journal of Financial Economics, 143(3), 1251-1274.Bánbura, M. & Modugno, M. (2014). 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Journal of Empirical Finance, 21, 15-35.EstudiantesInvestigadoresMaestrosMedios de comunicaciónPúblico generalResponsables políticosLICENSElicense.txtlicense.txttext/plain; charset=utf-85879https://repositorio.unal.edu.co/bitstream/unal/82852/3/license.txteb34b1cf90b7e1103fc9dfd26be24b4aMD53ORIGINAL1032476628.2022.pdf1032476628.2022.pdfTesis de Maestría en Ciencias Económicasapplication/pdf2307478https://repositorio.unal.edu.co/bitstream/unal/82852/4/1032476628.2022.pdf2f316df1ef55bd1034d9ccc157b34644MD54THUMBNAIL1032476628.2022.pdf.jpg1032476628.2022.pdf.jpgGenerated Thumbnailimage/jpeg4316https://repositorio.unal.edu.co/bitstream/unal/82852/5/1032476628.2022.pdf.jpg1d9379c7085b44c44e22289b2b176346MD55unal/82852oai:repositorio.unal.edu.co:unal/828522023-08-11 23:04:08.614Repositorio Institucional Universidad Nacional de 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