Mecanismos de transmisión de las condiciones macroeconómicas al mercado crediticio
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En este trabajo se aporta evidencia empírica sobre la existencia de los ciclos de Kitchin y Juglar en México durante los años que van del 2000 al 2015 mediante una combinación de técnicas econométricas (causalidad de Toda-Yamamoto y cointegración) y fenomenológicas (sincronización por frecuencias). El trabajo aporta evidencia empírica sobre ciclos de corto plazo de 3.5 años que son conducidos por el tipo de cambio y ciclos de largo plazo de 11 años conducidos por la formación bruta de capital y la morosidad. Adicionalmente se muestra la secuencia de los ciclos económicos de corto y largo plazo para una combinación de variables reales (actividad industrial, consumo privado, formación bruta de capital, actividad económica y producto interno bruto), monetarias (tipo de cambio, tasa de interés interbancaria e inflación) y bancarias (morosidad, créditos vigentes y vencidos).
Aiyar, S. (2012). "From financial crisis to great recession: The role of globalized banks". The American Economic Review, 102(3), pp. 225-230.
Aloui, C.; B. Hkiri & D. K., Nguyen (2016). "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis". Economic Modelling, 52(Part B), pp. 322-331.
Arkady, P., M. Rosenblum & J. Kurths (2001). Synchronization, A universal concept in nonlinear sciences. United States of America: Cambridge University Press, pp. 160-199.
Austin, M. M. y P. Vidal-Naquet (1980). Economic and social history of ancient Greece: an introduction. 2 ed. Berkely, USA: Univ of California Press, pp. 210-235.
Barro, R. J. (1989). Modern Business Cycle Theory. 5.1. Harvard University Press, pp. 92-145.
Borio, C. (2014). "The financial cycle and macroeconomics: What have we learnt?". Journal of Banking & Finance 45 (2014): 182-198., 45(August), pp. 182-198.
Conklin, J. (1998). "The Theory of Sovering Debt and Spain under Philip II". Journal of Political Economу, 106(3), pp. 483-513.
Cox, D. R. (1972). "Regression Models and Life Tables", Journal of the Royal Statistical Society, 34(1), pp. 187-220.
Davidson, R. A. J. G. M. (2004). Econometric theory and methods. Ed. New York, USA: Oxford University Press, pp. 170-210.
Drelichman, M. A. H. V. (2011). Lending to the Borrower from Hell: Debt and Default in the Age of Philip II. The Economic Journal, 121(557), pp. 1205-1227.
Figlewski, S.; H. Frydman & W. Liang (2012). "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions". International Review of Economics & Finance, 21(1), pp. 87-105.
Galbraith, J. K. (1994). A short history of financial euphoria, Ed. New York, USA: Penguin, pp. 219-255.
Harris, E. M. (2002). "Did Solon abolish debt-bondage?". The Classical Quarterly (New Series), 52(02), pp. 415-430.
Hayashi, F. (2000). Econometrics, 2000. Ed. Princeton, USA: Princeton University Press, pp. 190-240.
He. D. y W. Liao (2012). "Asian business cycle synchronization". Pacific Economic Review, 17(1), pp. 106-135.
Hicks, J. R. (1950). A Contribution to the Theory of the Trade Cycle. s.l.: Oxford: Clarendon Press, pp. 113-172.
Homer, 5. & R. E. Sylla (1996). A history of interest rates. 3er, ed. New Brunswick, New Jersey, USA: Rutgers University Press, pp. 210-243.
Johansen, S. (1988). "Statistical analysis of cointegration vectors". Journal of economic dynamics and control, 12(2), pp. 231-254.
Johansen, S. (2008). "A representation theory for a class of vector autoregressive models for fractional processes". Econometric Theory, 24(03), pp. 651-676.
Johansen, S. & K. Juselius (1990). "Maximum likelihood estimation and inference on cointegration with applications to the demand for money". Oxford Bulletin of Economics and statistics 52.2 (1990), pp. 169-210.
Johansen, S. & M. O. Nielsen (2010). "Likelihood inference for a nonstationary fractional autoregressive model", Journal of Econometrics, 158(1), pp. 51-66.
Johansen, S. & M. O. Nielsen (2012). "Likelihood inference for a fractionally cointegrated vector autoregressive model". Econometrica, 80(6), pp. 2667-2732.
Jordà, O, M. Schularick; & A. M. Taylor (2016), "Sovereigns versus banks credit, crises and consequences", Journal of the European Economic Association, 14(1), pp. 45-79.
Juglar C. (1862). Des crises commerciales en leur retour périodique en France, en Angleterre et aux Etats-Unis. Paris, Francia: Libraire Gillaumin, et Cie, pp. 215-320.
Keynes, J. M. (1936). The General Theory of Employment, Interest, and Money, s. 1.: Palgrave Macmillan, pp. 130-180.
Kindleberger, C. P. (2015). A financial history of Western Europe. Routledge, 2015. 2nd ed. Oxxon, UK: Routledge, pp. 146-189.
Kitchin, J. (1923). "Cycles and trends in economic factors". The Review of economic statistics (1923): 5(1), pp. 10-16.
Kondratieff, N. y W. F. Stolper (1935). "The Long Waves in Economic Life". The Review of Economics and Statistics, 17(6), pp. 105-115.
Kuznets, S. (1930), Secular movements in production and prices: their nature and their hearing upon cyclical fluctuations. Boston, USa: Houghton Mifflin, pp. 111-152.
Lee, J. (2013). "Business cycle synchronization in Europe: evidence from a dynamic factor model". International Economic Journal, 27(3), pp. 347-364.
MacKinnon, J. G., A. A. Haug y L. Michelis (1999). "Numerical distribution functions of likelihood ratio tests for cointegration". Journal of applied Econometrics, 14(5), pp. 563-577.
Maloney, R. P. (1974). "Usury and restrictions on interest-taking in the Ancient Near East". The Catholic Biblical Quarterly (1974), 9(4), pp. 1-20.
Marx, K. (1894). El capital, vol 111. Trad. Vicente Romano García, Akal, 1977. Ed. Berlín: Siglo veintiuno editores.
Minsky, H. P. (1974). "The modeling of financial instability: An introduction. Modelling and Simulation, 5(1), pp. 267.272.
Minsky, H. P. (1986). The evolution of financial institutions and the performance of the economy", Journal of Economic Issues, 20(2), pp. 345-353.
Schumpeter, J. (1939), Cycles. A Theoretical, Historical and Statistical Analysis of the Capitalist Process, s.1: McGraw-Hill Book Company, pp. 156-190.
Toda, H. Y. y T. Yamamoto (1995). "Statistical inference in vector autoregressions with possibly integrated processes", Journal of econometrics, 66(1), pp. 225-250.
Yurdakul, F. (2014). "Macroeconomic modelling of credit risk for banks". Procedia-Social and behavioral sciences, 109(8), pp. 784-793.
Detalles del artículo
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
Contenido principal del artículo
En este trabajo se aporta evidencia empírica sobre la existencia de los ciclos de Kitchin y Juglar en México durante los años que van del 2000 al 2015 mediante una combinación de técnicas econométricas (causalidad de Toda-Yamamoto y cointegración) y fenomenológicas (sincronización por frecuencias). El trabajo aporta evidencia empírica sobre ciclos de corto plazo de 3.5 años que son conducidos por el tipo de cambio y ciclos de largo plazo de 11 años conducidos por la formación bruta de capital y la morosidad. Adicionalmente se muestra la secuencia de los ciclos económicos de corto y largo plazo para una combinación de variables reales (actividad industrial, consumo privado, formación bruta de capital, actividad económica y producto interno bruto), monetarias (tipo de cambio, tasa de interés interbancaria e inflación) y bancarias (morosidad, créditos vigentes y vencidos).
Aiyar, S. (2012). "From financial crisis to great recession: The role of globalized banks". The American Economic Review, 102(3), pp. 225-230.
Aloui, C.; B. Hkiri & D. K., Nguyen (2016). "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis". Economic Modelling, 52(Part B), pp. 322-331.
Arkady, P., M. Rosenblum & J. Kurths (2001). Synchronization, A universal concept in nonlinear sciences. United States of America: Cambridge University Press, pp. 160-199.
Austin, M. M. y P. Vidal-Naquet (1980). Economic and social history of ancient Greece: an introduction. 2 ed. Berkely, USA: Univ of California Press, pp. 210-235.
Barro, R. J. (1989). Modern Business Cycle Theory. 5.1. Harvard University Press, pp. 92-145.
Borio, C. (2014). "The financial cycle and macroeconomics: What have we learnt?". Journal of Banking & Finance 45 (2014): 182-198., 45(August), pp. 182-198.
Conklin, J. (1998). "The Theory of Sovering Debt and Spain under Philip II". Journal of Political Economу, 106(3), pp. 483-513.
Cox, D. R. (1972). "Regression Models and Life Tables", Journal of the Royal Statistical Society, 34(1), pp. 187-220.
Davidson, R. A. J. G. M. (2004). Econometric theory and methods. Ed. New York, USA: Oxford University Press, pp. 170-210.
Drelichman, M. A. H. V. (2011). Lending to the Borrower from Hell: Debt and Default in the Age of Philip II. The Economic Journal, 121(557), pp. 1205-1227.
Figlewski, S.; H. Frydman & W. Liang (2012). "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions". International Review of Economics & Finance, 21(1), pp. 87-105.
Galbraith, J. K. (1994). A short history of financial euphoria, Ed. New York, USA: Penguin, pp. 219-255.
Harris, E. M. (2002). "Did Solon abolish debt-bondage?". The Classical Quarterly (New Series), 52(02), pp. 415-430.
Hayashi, F. (2000). Econometrics, 2000. Ed. Princeton, USA: Princeton University Press, pp. 190-240.
He. D. y W. Liao (2012). "Asian business cycle synchronization". Pacific Economic Review, 17(1), pp. 106-135.
Hicks, J. R. (1950). A Contribution to the Theory of the Trade Cycle. s.l.: Oxford: Clarendon Press, pp. 113-172.
Homer, 5. & R. E. Sylla (1996). A history of interest rates. 3er, ed. New Brunswick, New Jersey, USA: Rutgers University Press, pp. 210-243.
Johansen, S. (1988). "Statistical analysis of cointegration vectors". Journal of economic dynamics and control, 12(2), pp. 231-254.
Johansen, S. (2008). "A representation theory for a class of vector autoregressive models for fractional processes". Econometric Theory, 24(03), pp. 651-676.
Johansen, S. & K. Juselius (1990). "Maximum likelihood estimation and inference on cointegration with applications to the demand for money". Oxford Bulletin of Economics and statistics 52.2 (1990), pp. 169-210.
Johansen, S. & M. O. Nielsen (2010). "Likelihood inference for a nonstationary fractional autoregressive model", Journal of Econometrics, 158(1), pp. 51-66.
Johansen, S. & M. O. Nielsen (2012). "Likelihood inference for a fractionally cointegrated vector autoregressive model". Econometrica, 80(6), pp. 2667-2732.
Jordà, O, M. Schularick; & A. M. Taylor (2016), "Sovereigns versus banks credit, crises and consequences", Journal of the European Economic Association, 14(1), pp. 45-79.
Juglar C. (1862). Des crises commerciales en leur retour périodique en France, en Angleterre et aux Etats-Unis. Paris, Francia: Libraire Gillaumin, et Cie, pp. 215-320.
Keynes, J. M. (1936). The General Theory of Employment, Interest, and Money, s. 1.: Palgrave Macmillan, pp. 130-180.
Kindleberger, C. P. (2015). A financial history of Western Europe. Routledge, 2015. 2nd ed. Oxxon, UK: Routledge, pp. 146-189.
Kitchin, J. (1923). "Cycles and trends in economic factors". The Review of economic statistics (1923): 5(1), pp. 10-16.
Kondratieff, N. y W. F. Stolper (1935). "The Long Waves in Economic Life". The Review of Economics and Statistics, 17(6), pp. 105-115.
Kuznets, S. (1930), Secular movements in production and prices: their nature and their hearing upon cyclical fluctuations. Boston, USa: Houghton Mifflin, pp. 111-152.
Lee, J. (2013). "Business cycle synchronization in Europe: evidence from a dynamic factor model". International Economic Journal, 27(3), pp. 347-364.
MacKinnon, J. G., A. A. Haug y L. Michelis (1999). "Numerical distribution functions of likelihood ratio tests for cointegration". Journal of applied Econometrics, 14(5), pp. 563-577.
Maloney, R. P. (1974). "Usury and restrictions on interest-taking in the Ancient Near East". The Catholic Biblical Quarterly (1974), 9(4), pp. 1-20.
Marx, K. (1894). El capital, vol 111. Trad. Vicente Romano García, Akal, 1977. Ed. Berlín: Siglo veintiuno editores.
Minsky, H. P. (1974). "The modeling of financial instability: An introduction. Modelling and Simulation, 5(1), pp. 267.272.
Minsky, H. P. (1986). The evolution of financial institutions and the performance of the economy", Journal of Economic Issues, 20(2), pp. 345-353.
Schumpeter, J. (1939), Cycles. A Theoretical, Historical and Statistical Analysis of the Capitalist Process, s.1: McGraw-Hill Book Company, pp. 156-190.
Toda, H. Y. y T. Yamamoto (1995). "Statistical inference in vector autoregressions with possibly integrated processes", Journal of econometrics, 66(1), pp. 225-250.
Yurdakul, F. (2014). "Macroeconomic modelling of credit risk for banks". Procedia-Social and behavioral sciences, 109(8), pp. 784-793.
Detalles del artículo
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.