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A Composite Indicator of Systemic Stress (CISS) for Colombia

dc.creatorCabrera-Rodríguez, Wilmar Alexander
dc.creatorHurtado-Guarín, Jorge Luis
dc.creatorMorales, Miguel
dc.creatorRojas-Bohórquez, Juan Sebastián
dc.date.created2014-06-06
dc.date.issued2014-06-06
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2137
dc.description.abstractThe most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology proposed by Holló et al. (2012), along with some considerations from Hakkio & Keeton (2009), this document comprises a Composite Indicator of Systemic Stress (CISS) for Colombia. The index takes into account several dimensions related to financial markets (credit institutions, housing market, external sector, money market and local bond market) and is constructed using portfolio theory, considering the contagion among dimensions. Results suggest the peak of the global financial crisis (September 2008) as the most important episode of systemic risk in Colombia between 2000-2014. Additionally, real activity seems to be adversely affected by an unexpected increase of the systemic risk index.
dc.format.extent23 páginas : gráficas, tablas
dc.format.mimetypePDF
dc.language.isoeng
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesTemas de Estabilidad Financiera
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 80
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.subjectRiesgo sistémico
dc.subjectIndicadores de riesgo
dc.subjectEstabilidad financiera
dc.subjectIndicadores de alerta temprana
dc.subjectMultivariado GARCH
dc.titleA Composite Indicator of Systemic Stress (CISS) for Colombia
dc.typeWorking Paper
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rates
dc.subject.jelG29 - Financial Institutions and Services: Other
dc.subject.jelC51 - Model Construction and Estimation
dc.audiencePolicymakers
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.subject.keywordSystemic risk
dc.subject.keywordRisk indicators
dc.subject.keywordFinancial stability
dc.subject.keywordEarly-warning-indicators
dc.subject.keywordMultivariate GARCH
dc.subject.lembCrisis financiera global, 2008-2009
dc.subject.lembRiesgo financiero -- Indicadores -- Colombia
dc.subject.lembMercado financiero -- Indicadores -- Colombia
dc.subject.lembRiesgo (Economía) -- Colombia -- 2000-2014
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos
dc.subject.jelspaG29 - Instituciones y servicios financieros: Otros
dc.subject.jelspaC51 - Construcción de modelos y estimación
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.source.bibliographicCitationCardarelli, R., Elekdag, S. & Lall, S. (2011), ‘Financial stress and economic contractions’, Journal of Financial Stability 7(2), 78–97.
dc.source.bibliographicCitationGómez, E., Murcia, A. & Zamudio, N. (2011), ‘Financial conditions index: Early and leading indicator for Colombia’, Ensayos sobre Política Económica 29(66), 174–221.
dc.source.bibliographicCitationGonzalez, M. (2012), Nonfinancial firms in Latin America: A source of vulnerability?, IMF Working Papers 12/279, International Monetary Fund.
dc.relation.doihttps://doi.org/10.32468/tef.80
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/80.html
dc.relation.dotechttps://ideas.repec.org/p/col/000094/011697.html
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2137
dc.source.handleRepecRePEc:col:000094:011697
dc.source.handleRepecRePEc:bdr:temest:80


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