Effects of Stock Indices of Developed and Emerging Markets on Economic Activity in Colombia

A Favar Approach

Bibliographic Data

ID11149701
AuthorsStephanía Mosquera, Stephanía Mosquera-López (0000-0003-2274-541X, Universidad del Valle), Natalia Restrepo (0000-0002-9890-9970, Universidad del Valle), Jorge Uribe (0000-0002-9676-4544), Jorge M Uribe (0000-0002-5844-2771, Universidad del Valle)
Year2016
Issue85
Publication date2016-07-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueLecturas de Economía (JOURNAL)
Journal identifiersISSN: 0120-2596 • E-ISSN: 2323-0622
PublisherUniversidad de Antioquia (PUBLISHER • CO)
DOI10.17533/udea.le.n85a05
OpenAlexW2505475516
LanguageEN
References cited5

We analyze the effect of global financial conditions of developed and emerging economies on economic activity in Colombia. To accomplish this task, we estimate financial conditions indices for the stock markets of developed and emerging countries using principal components analysis. Then, we include the estimated indices as regressors in a traditional vector autoregression (VAR) that includes series of economic activity in Colombia; that is, we carry out a factor-augmented vector autoregression (FAVAR) analysis with one unobservable factor and one observable variable accounting for real economic activity to evaluate the influence of international financial conditions on macroeconomic variables in Colombia. Using monthly data, we find that the stock market conditions of emerging economies have a positive effect on macroeconomic performance in Colombia

Econometrics · Economics · Emerging markets · Financial economics · Financial market · Geography · Macroeconomics · Stock (firearms · Stock market · Stock market index · Unobservable · Vector autoregression · Finance · Financial Risk and Volatility Modeling · Global Financial Crisis and Policies · Monetary Policy and Economic Impact

Tools

Open DOISci-HubOpen Access