Contagio financiero energético: evidencia empírica para el mercado colombiano

Abstract

Financial contagion is a phenomenon produced by a global link of correlation and dependence between different countries, and occurs when there is an economic crisis, usually in one region, which creates instability in the financial markets. The purpose of this article is to determine the financial energy contagion effect between the global energy markets and the Colombian stock market. For this, it analyzed the international prices of oil (Brent), the behavior of the general index of the Colombian Stock Market (IGBC) and the dynamics of the Representative Market Rate (TRM). Historical information was used, obtained from the economic and financial information platform: Refinitiv, between the years 2001 and 2019. The statistical analysis was developed through time series, establishing the level of relationship between the indices. It was found that the average return of international oil prices affects the volatility of the domestic return more strongly for both the TRM and the IGBC in moments of crisis, and that the volatility in the international market has a greater effect on the average domestic return in times of crisis. The central contribution of this work is the incorporation of new statistical and econometric methods for the analysis of volatility transmission. This makes it possible to infer causal relationships between markets and determine robust predictive models to guide the development of economic and fiscal policy in emerging markets.