Purpose: The purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies. Design/methodology/approach: The authors employ a panel vector autoregression model (PVAR) for a comparative analysis of the relationship between financial stress, economic growth and monetary stability in 14 advanced and emerging economies. A homogeneous measure of financial stress is constructed and measured as an index that provides signals of stress episodes in an economy. Findings: The impact of financial stress shocks is greater on the economic growth of advanced economies; likewise, financial stress shocks are significant only in advanced economies. The interbank interest rate is negatively affected by financial stress in emerging economies. In general, the results show a clear view of the importance of financial stability and the economic relevance...

Purpose: The purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies. Design/methodology/approach: The authors employ a panel vector autoregression model (PVAR) for a comparative analysis of the relationship between financial stress, economic growth and monetary stability in 14 advanced and emerging economies. A homogeneous measure of financial stress is constructed and measured as an index that provides signals of stress episodes in an economy. Findings: The impact of financial stress shocks is greater on the economic growth of advanced economies; likewise, financial stress shocks are significant only in advanced economies. The interbank interest rate is negatively affected by financial stress in emerging economies. In general, the results show a clear view of the importance of financial stability and the economic relevance...

Trabajo de investigación para la asignatura Econometría III. Revisado por el profesor Dante A. Urbina, responsable de la asignatura.

Las crisis financieras han demostrado los efectos negativos de la globalización e integración financiera global. Si bien la integración de los mercados financieros trae muchos beneficios tanto directo como indirectos, para las economías que se integran, también, las vuelve más vulnerables a los problemas económicos que puedan sufrir otros países, es por ello que el presente trabajo utiliza un modelo de vectores autorregresivos en datos de panel (PVAR) con el objetivo de realizar un análisis comparativo de la relación que existe entre el estrés financiero, el crecimiento de las economías y la estabilidad monetaria de 14 economías, divididas entre avanzadas y emergentes. Para este propósito se construye una medida homogénea de estrés financiero calculada como un índice que provee señales de episodios de estrés en las economías, de igual manera, el índice es una medida ...