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De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

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dc.contributor.advisorCastro, Carlos
dc.creatorOrdóñez Herrera, Juan Sebastián
dc.creator.degreeMagíster en Economía
dc.date.accessioned2014-07-11T00:18:58Z
dc.date.available2014-07-11T00:18:58Z
dc.date.created2014-05-22
dc.date.issued2014
dc.descriptionLa crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).spa
dc.description.abstractThe crisis that erupted in the mortgage market in the United States in 2008 and managed to spread throughout the financial system, demonstrated the level of interconnection that exists between public sector entities and their relationships with the productive sector, leaving highlighted the need to identify and characterize the systemic risk inherent in the system, so that in this way regulators seek both individual as overall system stability. This paper shows, through a model that combines the power of information networks and their suitability for an auto regressive (panel type) spatial model, the importance of incorporating the micro-prudential (proposed Basel II) approach, a variable that captures the effect of being connected with others and making a macro-prudential analysis (proposed Basel III).eng
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dc.identifier.doihttps://doi.org/10.48713/10336_8346
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/8346
dc.language.isospa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.publisher.programMaestría en Economíaspa
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dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subjectEconometría Espacialspa
dc.subjectExternalidad de redspa
dc.subjectMicro-Prudencialspa
dc.subjectMacro-Prudencialspa
dc.subjectRiesgo Sistémicospa
dc.subject.ddcEconomía
dc.subject.keywordSpatial Econometricseng
dc.subject.keywordNetwork Externalityeng
dc.subject.keywordMicro-Prudentialeng
dc.subject.keywordMacro-Prudentialeng
dc.subject.keywordSystemic Riskeng
dc.subject.lembEconometríaspa
dc.subject.lembBancaspa
dc.subject.lembMicroeconomíaspa
dc.subject.lembMacroeconomíaspa
dc.titleDe lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacialspa
dc.typemasterThesiseng
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaTesis de maestríaspa
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