A Composite Indicator of Systemic Stress (CISS) for Colombia

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáeng
dc.creatorCabrera-Rodríguez, Wilmar Alexandereng
dc.creatorHurtado-Guarín, Jorge Luiseng
dc.creatorMorales, Migueleng
dc.creatorRojas-Bohórquez, Juan Sebastiáneng
dc.date.accessioned2014-06-06T08:30:10Zeng
dc.date.available2015-12-06T08:30:10Zeng
dc.date.available2015-12-14T08:30:10Zeng
dc.date.available2017-10-24T08:30:10Zeng
dc.date.created2014-06-06eng
dc.date.issued2014-06-06eng
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.eng
dc.format.extent23 páginas : gráficas, tablaseng
dc.format.mimetypePDFeng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2137spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2137eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaeng
dc.relation.doihttps://doi.org/10.32468/tef.80spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/011697.htmlspa
dc.relation.ispartofDocumentos de Trabajoeng
dc.relation.ispartofseriesTemas de Estabilidad Financieraeng
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 80eng
dc.relation.numbertef 80eng
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/80.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.eng
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationCardarelli, R., Elekdag, S. & Lall, S. (2011), ‘Financial stress and economic contractions’, Journal of Financial Stability 7(2), 78–97.eng
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.eng
dc.source.bibliographicCitationGonzalez, M. (2012), Nonfinancial firms in Latin America: A source of vulnerability?, IMF Working Papers 12/279, International Monetary Fund.eng
dc.source.handleRepecRePEc:col:000094:011697spa
dc.subjectRiesgo sistémicoeng
dc.subjectIndicadores de riesgoeng
dc.subjectEstabilidad financieraeng
dc.subjectIndicadores de alerta tempranaeng
dc.subjectMultivariado GARCHeng
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelG29 - Financial Institutions and Services: Othereng
dc.subject.jelC51 - Model Construction and Estimationeng
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonoseng
dc.subject.jelspaG29 - Instituciones y servicios financieros: Otroseng
dc.subject.jelspaC51 - Construcción de modelos y estimacióneng
dc.subject.keywordSystemic riskeng
dc.subject.keywordRisk indicatorseng
dc.subject.keywordFinancial stabilityeng
dc.subject.keywordEarly-warning-indicatorseng
dc.subject.keywordMultivariate GARCHeng
dc.subject.lembCrisis financiera global, 2008-2009eng
dc.subject.lembRiesgo financiero -- Indicadores -- Colombiaeng
dc.subject.lembMercado financiero -- Indicadores -- Colombiaeng
dc.subject.lembRiesgo (Economía) -- Colombia -- 2000-2014eng
dc.titleA Composite Indicator of Systemic Stress (CISS) for Colombiaeng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajoeng

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