A Composite Indicator of Systemic Stress (CISS) for Colombia

Wilmar Cabrera (), Jorge Hurtado (), Miguel Morales Mosquera () and Juan Sebastián Rojas Bohórquez

No 11697, Borradores de Economia from Banco de la Republica

Abstract: The most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology proposed by Holló et al. (2012), along with some considerations from Hakkio & Keeton (2009), this document comprises a Composite Indicator of Systemic Stress (CISS) for Colombia. The index takes into account several dimensions related to financial markets (credit institutions, housing market, external sector, money market and local bond market) and is constructed using portfolio theory, considering the contagion among dimensions. Results suggest the peak of the global financial crisis (September 2008) as the most important episode of systemic risk in Colombia between 2000-2014. Additionally, real activity seems to be adversely affected by an unexpected increase of the systemic risk index.

Keywords: Systemic Risk; Risk Indicators; Financial Stability; Early-Warning-Indicators; Multivariate GARCH. (search for similar items in EconPapers)
JEL-codes: C51 G12 G29 (search for similar items in EconPapers)
Pages: 22
Date: 2014-06-13
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: A Composite Indicator of Systemic Stress (CISS) for Colombia (2014)
Working Paper: A Composite Indicator of Systemic Stress (CISS) for Colombia (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:011697

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