El índice de vulnerabilidad de mercados emergentes de la Fed
Genevieve Signoret & Patrick Signoret
Para su informe de Política Monetaria 2014 publicado en febrero de este año, economistas de la Fed desarrollaron un índice de vulnerabilidad relativa para 15 economías emergentes (emerging market economies, EME).
Observaron que la vulnerabilidad relativa medida por este índice estaba altamente correlacionada con una medida de estrés de mercados financieros, el tipo de cambio:
Note: Scatterplot. Exchange rate appreciation of emerging market currencies against the U.S. dollar is measured from April 30, 2013, to February 6, 2014. BZ is Brazil; CH is China; CL is Chile; CO is Colombia; ID is Indonesia; IN is India; KO is Korea; MA is Malaysia; MX is Mexico; PH is the Philippines; RU is Russia; SA is South Africa; TA is Taiwan; TH is Thailand; TK is Turkey. Source: CEIC; Haver Analytics; International Monetary Fund (IMF) International Financial Statistics and World Economic Outlook; IMF Fiscal Monitor; Joint BIS-IMF-OECD-WB External Debt Hub; Federal Reserve Board staff calculations.
Encuentre aquí los valores exactos que alimentaron la gráfica. Según el índice, México era la novena economía más vulnerable, aunque entre abril 2013 y febrero 2014 su moneda fue la cuarta más fuerte frente al dólar.
Escribimos a la Fed para solicitar detalles sobre su metodología y nos compartieron lo siguiente:
The relative vulnerability index across major emerging market economies (EMEs) referred to above is based on six macroeconomic indicators for 15 EMEs. EMEs included in the index are Brazil, China, Chile, Colombia, Indonesia, India, South Korea, Malaysia, Mexico, the Philippines, Russia, South Africa, Taiwan, Thailand, and Turkey. The six macroeconomic indicators used in the index are:
- The ratio of the current account (CA) balance to gross domestic product (GDP) for 2013, using the IMF projections from the World Economic Outlook (Source: WEO, October 2013).
- The ratio of gross government debt to GDP for 2013. (Source: WEO, October 2013).
- Annual headline inflation averaged for 2011, 2012 and 2013. (Source: CEIC for China, Indonesia, South Korea, Malaysia, the Philippines, Taiwan, and Thailand, and Haver Analytics for other economies).
- The run-up in bank credit as a share of GDP between 2008:Q4 and 2013:Q2, using data on bank credit to the private sector from the IMF’s International Financial Statistics.
- The ratio of total external debt to annualized exports for 2013, using data on total external debt from 2013:Q2, and annualized exports for 2013 based on monthly data through November or December. (Source: External debt, World Bank Quarterly External Debt Statistics; exports, CEIC for Asian EMEs and Haver Analytics for other economies).
- The ratio of international reserves to GDP for 2013, using the data on international reserves minus gold as of December 2013 (except November for Colombia and Turkey). (Source: Reserves, Haver Analytics; nominal GDP in dollars, WEO, October 2013).
To construct the index, we first ranked the 15 EMEs relative to each other according to each variable, from lowest vulnerability (a rank of 1) to highest vulnerability (a rank of 15). Then we computed the average ranking of a country across the six variables to obtain the value of the index for each EME. It is important to note that this index represents relative vulnerabilities across these selected EMEs and does not inform us about the absolute levels of vulnerabilities.
La Fed no tiene intenciones de actualizar y publicar este índice de forma regular.