Examinando por Materia "Autoregressive vectors"
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Publicación Anuncios de política y su relación con el mercado bursátil : el caso de la crisis del COVID-19 en Colombia(Universidad EAFIT, 2020) Gutiérrez Martínez, Carlos Mario; Medina Gaspar, Daniel SantiagoPublicación Incidencia de la política monetaria y los indicadores de crecimiento económico sobre el riesgo de liquidez en instituciones financieras de Colombia(Universidad EAFIT, 2025-11-25) Cardona Baquero, Giovanny; Cruz Castañeda, VivianThis research analyzes the impact of changes in monetary policy and economic growth indicators on the Liquidity Risk Index (IRL) of financial institutions in Colombia, considering their implications for banking liquidity and financial stability. A database containing macroeconomic information and financial reports from selected banks for the period March 2020–December 2024 was used. Statistical and econometric techniques, such as multiple regression and vector autoregressive (VAR) models, were applied to examine how macroeconomic indicators affect the liquidity of these institutions. The results show that liquidity risk in Colombia is strongly influenced by macroeconomic factors, particularly interest rates and inflation, which exert significant effects on the IRL, while the non-performing loan ratio (ICV) reflects the influence of the general economic environment. In contrast, variables such as the fixed-term deposit rate (DTF) and unemployment do not show statistically significant effects. These findings highlight the importance of maintaining macroeconomic stability to reduce liquidity risk in financial institutions.Ítem On the volatility of the yield curve of the Colombian public debt market(Universidad EAFIT, 2018-06-18) Sánchez, José Miguel; Trespalacios Carrasquilla, Alfredo; Universidad de Antioquia; Instituto Tecnológico Metropolitano