Diseño de un modelo de alerta temprana para inferir la ocurrencia de crisis financieras con aplicación a mercados emergentes. El caso del mercado bursátil Colombiano

This research combines the theoretical field with the empirical implementation of the optimal model that allows finding a way to understand the transmission of volatility as a result of financial contagion and therefore increases risk levels. The study focuses on determining the main macro-prudential indicators of systemic risk applied to emerging markets, especially the national stock market, in order to infer in advance the occurrence of financial crisis phenomena. The key economic and financial aspects are estimated, such as the macro performance of the markets, the functional structure and the economic-financial performance of the different agents involved in financial contagion. In this context, the Colombian stock market is taken into account as the population under study, during a period of five (5 years), assuming from the theoretical point of view that it constitutes the most representative financial market of the national economy and from the point of view of methodological view, which are markets on which there is the greatest amount of data available in the different economic-financial information platforms for emerging economies, such as Colombia. Finally, the representation for the analysis of financial contagion is carried out with GARCH-type models, since these models are suitable for studying the dynamics of assets within the stock markets.

keywords: Interdependence, globalization, financial markets, risk management

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Pismag Ramírez, C. A. ., Bolaños Garcés, J. H., & Menesse Cerón, L. Ángel . (2022). Design of an Early Warning Model to Infer the Occurrence of Financial Crises with Application to Emerging Markets. The Case of the Stock Market Colombian. Revista Estrategia Organizacional, 11(1), 7-29. https://doi.org/10.22490/25392786.5656

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