Construcción del índice de estrés financiero y determinación de umbrales ante vulnerabilidades macroeconómicas en los países dolarizados.

Abstract

The world crisis caused by COVID-19 is a major problem in the globalized economy, and for developing countries, this generates greater uncertainty in the different sectors of the economy. Ecuador, El Salvador and Panama, before the pandemic, already had periods of deceleration, so the effect of the pandemic was greater in comparison with other countries. On the other hand, the monitoring of the financial system is of vital importance for macro-prudential policy decisions that help promote economic development, because when there is stability in the system, it efficiently serves all agents, which leads to the growth of a country's economy. On the other hand, if the system is unstable and has deficiencies, this can lead to serious negative impacts on the economy. Therefore, this research proposes the development of a Financial Stress Index (FSI) for Ecuador, El Salvador and Panama using a Dynamic Factor Model proposed by Stock and Watson (2010). This type of model has the usefulness of reducing the dimension of a set of variables to a smaller group of latent dynamic factors, which explain the common behavior of the different variables incorporated in the model. In addition, to study the links between the financial sector and the real sector, a Threshold Vector Autoregressive Model (TVAR) developed by Balke (2000) was used, which considers that the relationship between the different variables is non-linear and allows distinguishing between different financial stress regimes (high and low financial stress). The main results of this research show that the calculated FSI are able to identify the different periods of high financial stress over time in dollarized countries, the most important being the international financial crisis of 2008 and the beginning of the COVID-19 health crisis in 2020. Likewise, it is observed that shocks that affect the financial conditions of a country cause economic deceleration, however, the effect is greater when the economy is in a regime of high financial stress at the time of the shock.