Una evidencia en Colombia de la relación entre el mercado de activos financieros y la economía real

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Autores

José Mauricio Gil León

Abstract

En este artículo se analiza la relación existente entre el mercado de activos financieros y el sector real de la economía, haciendo una revisión teórica sobre la presencia de tal relación desde el análisis de  la teoría de  los portafolios y del mercado eficiente. Además,se  identifica  la relación  según algunos  teóricos que  incluyen  la conexión entre el precio de los activos y el sector real en el ciclo económico. Así mismo, se hace un análisis del  comportamiento de  la  economía  colombiana donde  se  evidencia  la existencia de vulnerabilidad del sector real frente al sector financiero, en especial,durante  la  recesión de  los noventa  y  en  la  crisis de 2008. Es  entonces que para
evidenciar esta relación de forma empírica se realizan dos estimaciones del modelo VAR,  donde  se  identifican  las  interrelaciones  entre  los  activos  financieros  y  el
mecanismo de trasmisión del mercado financiero al sector real, donde se comprueba que la tasa de interés es la conectora entre los dos mercados, la cual se modifica por el cambio en la composición de los portafolios. Es así que se demuestra y se infiere que  la  economía  colombiana  presenta  desequilibrios  en  el mercado de  activos financieros que alteran la economía real.

ABSTRACT

This article analyzes the relationship between financial asset markets and the real sector of the economy,with a theoretical reviewon the presence of such a relationship fromthe analysis of portfolio theory and efficientmarket. In addition, it identifies the relationship as some theorists, including the connection between asset prices and the real sector in the economic cycle. Likewise, an analysis of the behavior of the Colombian economywhich shows the existence of real sector vulnerabilities facing the financial sector, especially during the recession of the nineties and the crisis of 2008. It is then that to show this relationship empirically ismade two estimates of VARmodel,which identifies the interrelationships between financial assets and the transmission mechanism of financial markets to the real sector, where it is found that the rate of interest is the connector between the twomarkets, which ismodified by changing the composition of the portfolios. That is being demonstrated and it appears that the Colombian economy has imbalances in the market for financial assets that alters the real economy.

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