DINÁMICA DEL RIESGO MACROECONÓMICO Y LOS SPREADS DE CRÉDITO EN EMPRESAS MEXICANAS
Barra lateral del artículo
Contenido principal del artículo
Resumen
Este artículo presenta evidencia empírica de la relación entre el riesgo sistemático doméstico, representado por variables macroeconómicas clave, y el comportamiento de los spreads de crédito de los principales corporativos de la economía mexicana. El análisis se basa en una ampliación del modelo utilizado en Gurrola y López (2009). Los resultados de la estimación del modelo econométrico muestran que los coeficientes de las variables que explican el spread pagado por las empresas bajo estudio son estadísticamente significativos para casi todos los factores de riesgo propuestos, ya sea en sus valores contemporáneos o rezagados. La evidencia recabada sugiere que los principales factores de riesgo que afectan el spread de crédito en las empresas mexicanas son la evolución de la oferta monetaria, del tipo de cambio y del nivel de exportaciones.
Detalles del artículo
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial 4.0.
Citas
Al-Shanfari, H. (2003). Testing the arbitrage pricing theory in net oil exporting countries. Ponencia. European Applied Business Research Conference. Venice.
Altman, E. I. & Kao, D. L. (1992). The implications of corporate bond ratings drift. Finalcial Analysts Journal. 48:64-75.
Amato, J. D. y Furfine, C. H. (2004). Are credit ratings procyclical? Journal of Banking & Finance, 28:2641-2677.
Benell, J. A., Crabbe, D., Thomas, S. & Gwilym, O. (2006). Modelling sovereign credit ratings: Neural networks versus ordered probit. Expert Systems withAplications, 30:415-425
Bielecki, T. R. & Rutkowski, M. (2000). Multiple ratings model of defautable term structure. Mathematical Finance, 10 (2): 125-139
BIS - Bank of International Settlements. (1999). Credit risk modelling: current practice and applications. Basel Committee on Banking Supervision
BIS - Bank of International Settlements. (2004). International convergence of capital measurement and capital standards. Basel Committee on Banking Supervision.
Cantor, R. (2004). An introduction to recent research on credit ratings. Journal of Banking & Finance, 28:2565-2573
Carey, M. & Hrycay, M. (2001). Parameterizing credit risk models with rating data. Journal of Banking & Finance, 25:197-270
Chan, K., Jegadeesh, N. (2004). Market- Based Evaluation for Models to Predict Bond Ratings. Review of Pacific Basin Financial Markets and Policies, 1:153-172.
Crouhy, M., Galai, D. & Mark, R. (2000). A comparative analysis of current credit risk models. Journal of Business & Finance, 24:59- 117.
Crouhy, M., Galai, D. & Mark, R. (2001). Prototype risk rating system. Journal of Banking & Finance, 25:47-95
Collin-Dufresne, R, Goldstein, R. S. & Martin, J. S. (2001). The determinants of credit spread changes. The Journal of Finance, LVI (6): 2177-2207
Couderc, F. & Renault, O. (2005). Times-To- Default: Life cycle, global and industry cycle impact. International Center for Fiancial Asset Management and Engineering. FAME Research Paper Series, No. rp142.
De la Calle, L. F. (1991). Diversification of macroeconomic risk and international integration of capital markets: The case of Mexico. The World Bank Economic Review, 5: 415-436
Delianedis, G. y Geske, R. (2001). The components of corporate credit spreads: default, recovery, tax, jumps, liquidity and market factors. Anderson Graduate School of Management. University of California, Los Angeles. Working Paper 22-01
Delianedis, G., Geske, R. (2003). Credit risk and neural default probabilities: Information about rating migrations and defaults. European Finance Association; Annual Conference; Paper No. 962.
Demyanyk, Y. & Van Hemert, O. (2008). Understanding the Subprime Mortgage Crisis. Federal Reserve Bank of St. Louis. Supervisory Policy Analysis Working Paper Series, No. 2007-05.
Doshi, K., Johnson, R., Ortiz E. & Soenen, L. (2001). Privatization, liberalization and stock market performance: the case of Mexico. En Kotabe, Masaaki y Leal, R. P. C. (edit.). Market revolution in Latin American: Beyond Mexico. Kidlington, Oxford: Pergamon
Eiteman, D. K., Stonehill, A. I. & Moffett, M. H. (2001). Multinational Business Finance. Addison Wesley Longman; Pearson Education; 9th edition.
Farnsworth, H. & Li, T. (2007). The dynamics of credit spreads and ratings. Journal of Financial and Quantitative Analysis, 2 (3): 595-620.
Gilbert, L. R., Menon, K. & Schartz, K. B. (1990). Predicting Bankruptcy for Firms in Financial Distress. Journal of Business Finance &Accounting, 17:161-171.
Gurrola Ríos, C. y López Herrera, F. (2009). Spreads de la deuda privada y riesgo sistemático en México. Contaduría y Adminstración, 229:59-84.
Hanson, S. & Schuermann, T. (2006). Confidence intervals for probabilities of default. Journal of Banking & Finance, 30: 2281-2301
Hull J., Predescu, M. & White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance, 28:2789-281
Johnston, J. & DiNardo, (1997). Econometric methods, 4th edition, Singapore: Me Graw-Hill International Editions.
Krahnen, J. P. & Weber, M. (2001). Generally accepted rating principles: A primer. Journal of Banking & Finance, 25:3-23.
Lando, D. & Skodeberg, T. M. (2002). Analyzing rating transitions and rating drift with continuous observations. Journal of Banking & Finance, 26:423-444.
Livingston, M., Naranjo, A. & Zhou, L. (2005). Information asymmetry, bond split rating, and rating migration. Financial Management Association, International Annual Meeting, Chicago III.
Loftier, G. (2004). An anatomy of rating through the cycle. Journal of Banking & Finance, 28: 695-720.
Moncarz, E. S., Moncarz, R., Cabello, A. y Moncarz, B. (2006). The rise and collapse of enron: Financial innovation, errors and lessons. Contaduría y Administración, 218:17- 37.
Navarro, C. y Santillán Salgado, R. (2001). A test f the APT in the mexican stock market. BALAS Conference. Universidad de San Diego, California
Nickell, P., Perraudin, W., Varotto, S. (2000). Stability of ratings transitions. Journal of Banking & Finance, 24:203-227.
Otero, J. M. (1993). Econometria. Series temporales y predicción. Madrid: Editorial AC.
Partnoy, F. (2001). The paradox of credit rating. University of San Diego. Law and Economics Research Papers Series, Working Paper No. 20
Perry, L. G., Henderson, G. V, Cronan, T. P. (1984). Multivariate analysis of corporate bond ratingsand industry classification. The Journal of Financial Research, VII (1): 27-36
Prysock, M. (2006). Why FEI supports credit rating agency reform? Financial Executive, 22 (4): 63.
Schuermann, T. (2005). A review of recent books on credit risk. Journal of Applied Econometrics, 20:123-130.
Steven, B. K. & Karsten, von Kleist. (1999). The evolution and determinants of emerging market credit spreads in the 1990s. Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 653
Sy Amadou, N. R. (2002). Emerging market bond spreads and sovereign credit ratings: reconciling market view with economic fundamentals. Emerging Markets Review, 3: 380-408.
Sy Amadou. (2003). Rating the rating agencies: Anticipating currency crises or debt crises. IMF, International Capital Markets Departaments, Working Paper Series, WP/03/122, pp. 2845-2867.
Wei, J. Z. (2003). A multi-factor, credit migration model for sovereign and corporate debts. Journal of International Money and Finance, 22:709-735.
Wendin, J. & McNeil, A. (2006). Dependent credit migrations. National Centre of Competente in Research, Financial Valuation and Risk Management, Working Paper Series, No. 182.