Examinando por Materia "VAR"
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Ítem Análisis de los retornos de la inversión en publicidad del sector financiero en Colombia(Universidad EAFIT, 2019) Arjona Molina, Tomás; Cuartas Puerta, AlejandroÍtem Análisis empírico del efecto de la inflación en el consumo real : el caso colombiano (1955 - 2019)(Universidad EAFIT, 2023) Mesa Salazar, Martín; Torres Orrego, Pablo; Posada Posada, Carlos EstebanThe objective of this study was to evaluate the effects of a nominal variable (in this case, inflation) on a real variable (real consumption) in the period from 1955 to 2019 in Colombia, based on the classical idea of money neutrality. To achieve this, a review of the ideas from the main schools of thought was conducted, supplemented with an in-depth analysis of the existing literature on current studies of the effects of inflation on consumption. Some of the studies discussed in this work are those by Hurtado (2006), Moreira (2016), Contreras et al. (2019), Zúñiga et al. (2020), and Álvarez Fernández (2022). Additionally, correlation relationships between consumption, inflation, and Gross Domestic Product were evaluated using statistical techniques. Lastly, an analysis of impulse response graphs was conducted, which were obtained through three VAR models developed specifically for this study and explained within the methodological design section, in order to demonstrate money neutrality or non-neutrality in the long term for Colombia.Ítem Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries(Universidad nacional de Colombia, 2011) Agudelo, Diego A.; Castaño, Milena M.; Departamento de Finanzas, Universidad EAFIT, Medellín, Colombia; Banco Santander, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaForeign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, for around 10 years including the 2008 World financial crisis. This will test whether these flows cause instability for those markets and increase their exposure to international stock market returns. A proprietary database, from Emerging Portoflio.com and time series models, both univariate (ARCH-GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. We found no strong evidence to support the hypothesis that foreign flows cause instability in the Latin American stock markets, in spite of some evidence of causing price pressure. Instead, the evidence points to a strong dependence of market returns on international stock and foreign exchange markets, both in means and in volatility, instrumental to transmit crisis to those markets.Ítem Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008(Universidad EAFIT, 2011-12-15) Agudelo, Diego Alonso; Castaño, MilenaForeign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, for around 10 years including the 2008’s World financial crisis. This will test whether these flows cause instability for those markets and increase their exposure to international stock market returns. A proprietary database, from Emerging Portoflio.com and time series models, both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. We found no strong evidence to support the hypothesis that foreign flows cause instability in the Latin American stock markets, in spite of some evidence of causing price pressure. Instead, the evidence points to a strong dependence of market returns on international stock and foreign exchange markets, both in means and in volatility, instrumental to transmit crisis to those markets.Ítem Econometrical analysis of the purchasing power parity in Peru(Universidad EAFIT, 2020-09-08) Laurente Blanco, Luis Francisco; Machaca Hancco, Froylan; Universidad Nacional del AltiplanoPeru is a small economy open to the world, highly dependent on transactions with its trading partners that expose it to external shocks such as the financial crisis of 2008 or the shock of interest rates in 2006 that directly affect the behavior of the rate exchange. Therefore, the objective of this research was to contrast the validity of purchasing power parity between Peru and the United States in the period 2000-2019 from the functional forms of the parity equation in its absolute and relative forms. For the contrast analysis of cointegration relationships, the Johansen methodology was used; for the calculation of long-term parameters, the modification of autoregressive vector models. The results reveal that the purchasing power parity hypothesis for the Peruvian sol and for the US dollar is not fulfilled in any of its functional forms. This is due to the parameters estimated for absolute and relative parity being different from unity, thus rejecting the hypothesis of market efficiency in the long term for both Peru and the United States.Ítem Efecto inflacionario a corto plazo de la variación en los precios de la gasolina corriente y ACPM como consecuencia de la mitigación del déficit del Fondo de Estabilización de Precios de los Combustibles (FEPC)(Universidad EAFIT, 2022) Ospina López, David; Mesa Usuga, Valeria; Hurtado Rendón, Álvaro ArturoÍtem Predicción del precio de la energía eléctrica en Colombia mediante un enfoque de machine learning(Universidad EAFIT, 2023) Villarreal Marimon, Yeison José; Flores San Martín, Luis Armando; Almonacid Hurtado, Paula MaríaIn this research, numerous predictive models are developed, including regression models, VAR models, ARIMA models, ARIMAX models and SARIMAX models, which were further used to estimate and predict the electricity spot price, and therefore obtaining an approximate value for the sale of a kilowatt-hour, a critical input for calculating the revenues in the valuation models of electric power generations projects in Colombia. This was accomplished using the historical records from XM’s databases, analyzing the relationship between the historical spot price for electricity in the frame of time from January 2000 to July 2023, other input variables were also considered such as hydrological contributions, hydrological discharges and hydrological reserves expressed in terms of energy, as well as the potential effects of climatological phenomena like the El Niño Southern Oscillation (ENSO) that occurs in the country. The results of the research indicate that the prices of the kilowatt-hour are affected by the rainy season and specially by the occurrence of the El Niño phenomena, during which prices increase triggering the scarcity price of the system, which can be observed in the years 2015 and 2016. Finally, as a result, all models follow the price behavior trends. The models were subjected to different time horizon tests, finding that the model to be used depends on the time horizon that the investor needs to analyze: VAR models for the short-term, SARIMAX models for the medium-term and multiple regression models for the long-term.