Un enfoque no compensatorio para medir el riesgo país en los países de la OCDE
Palabras clave:
ÍNDICE DE RIESGO PAÍS, ÍNDICE DE MAZZIOTTA-PARETO, PAÍSES DE LA OCDE, RIESGO POLÍTICO
Resumen
En los últimos años se ha producido un rápido crecimiento de los préstamos internacionales y de la inversión extranjera. Como consecuencia del gran flujo de capital hacia nuevos países en desarrollo, la exposición al riesgo de los prestamistas e inversores está aumentando, y el análisis del riesgo país se vuelve cada vez más importante para los operadores financieros internacionales. En el presente documento, proponemos un índice no compensatorio para calcular el riesgo país (desde ahora, RP) en los países de la Organización para la Cooperación y el Desarrollo Económicos (OCDE): el Índice Mazziotta-Pareto (IMP). Éste asume la "no sustituibilidad" de las dimensiones del RP, considerándose todas ellas de la misma importancia, sin ninguna compensación posible entre ellas. Este indicador clasifica a los países en seis grupos principales, de acuerdo con su riesgo país. Aunque se basa en un pequeño número de variables, el IMP puede evaluar con bastante precisión las "dimensiones latentes" pre-figurativas del RP a corto plazo. El índice propuesto permite evaluar comparativamente las clasificaciones internacionales de riesgo país y destacar la relevancia del riesgo económico, financiero y político como componentes de una clasificación general de riesgo.
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Avramovic, D.; Husain, S.S.; de Weille, J.; Froland, J.; Hayes, J. P.; Wyss, H. (1964). Economic Growth and External Debt. Washington, D.C.: The World Bank.
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Brown Christopher L. Cavusgil Tamer, Lord A. Wayne (2015) Country-risk measurement and analysis: A new conceptualization and managerial tool. International Business Review
Volume 24, Issue 2, April 2015, Pages 246-265
Carment D. (2001); “Assessment Country Risk: Creating and Index of Severity”; Discussion Paper prepared for CIFP Risk Assessment Template. May 2001
Carstairs V. (2000), Socio-economic factors at area level and their relationship with health: In Elliott, P., Wakefield, J., Best, N., Briggs, D. (Eds.). Spatial Epidemiology methods and applications (pp. 51-68). Oxford University Press.
Carstairs V. Morris R. (1991) Deprivation and Health in Scotland. Aberdeen University Press.
Cattel, R. (1966). The scree test for the number of Factors. Multivariate behavioural research, Vol.1, Issue 2, 245-276.
Cosset, J.C. and J. Roy, (1991) The determinants of country risk ratings, Journal of International Business Studies, 22(1), 135-142.
Cukier, Mayer-Schoenberger (2013) The rise of big data: How it's changing the way we think about the world Foreign Affairs (2013)
De Muro, P., Mazziotta, M., & Pareto, A. (2007). Composite indices for multidimensional development and poverty: An application to MDG indicators. In Wye City Group Meeting. Held in Rome, Italy: June. http://www.fao. org/es/ess/rural/wye_city_group.
Dillon W., Goldstein M. (1984), Multivariate analysis method and application, New York, Wiley.
Doumpos M., Pentaraki K., Zopounidis C., Agorastos C., (2001) Assessing country risk using a multi-group discrimination method: a comparative analysis, Managerial Finance, Vol. 27 Iss: 8, pp.16 -34
Doumpos M, Zopounidis C. (2002) On the use of a multi-criteria hierarchical discrimination approach for country risk assessment. Journal of Multi-Criteria Decision Analysis, 11(4-5):279-289
Fabrigar, L., Wegener, D., MacCallum, R., & Strahan, E. (1999). Evaluating the Use of Exploratory Factor Analysis in Psychological Research. Psychological Methods, Vol. 4, n° 3, 272-299.
Forrest R., Gordon D. (1993) People and Places: a 1991 Census atlas of England, SAUS, University of Bristol.
Gordon D., Pantazis C. (1997) Breadline Britain in the 1990s, Ashgate, Ashgate Publishing Limited.
Gorsuch, R. (1983). Factor Analysis (2nd ed.). Hillsdale, NJ: Lawrence Erlbaum Associates.
Hammer P. L., Kogan A., Lejeune M.A. (2004), Country risk ratings: Statistical and Combinatorial non-recursive Models, Rutcor Research Report 8-2004.
Hoti S., McAleer M. (2004) An Empirical Assessment of Country Risk Ratings and Associated Models, Journal of Economic Survey Vol 18(4):539-588
Ivaldi E. (2013) A Proposal of a Country Risk Index Based on a Factoral Analysis: An Application to South Mediterranean and Central-East European Countries International Economics v.66 I2 Genoa
Ivaldi E., Bonatti G., Soliani R. (2016a) The construction of a synthetic index comparing multidimensional well-being in the European Union, Social Indicators Research. January 2016, Volume 125, Issue 2, pp 397-430. DOI. 10.1007/s11205-014-0855-8
Ivaldi E., Bonatti G., Soliani R. (2016b) An indicator for the measurement of political participation: the case of Italy Social Indicator Research online DOI :10.1007/s11205-016-1303-8
Ivaldi E., Di Gennaro A. (2011) Il rischio paese e la sua misurazione: una proposta di indicatore, Collana Percorsi di Scienze Economiche e Sociali n.7 Impressioni Grafiche, Acqui Terme ISBN 978-88-6195-105
Ivaldi E., Testi A. (2010) Genoa Index of Deprivation (GDI): An Index of Material Deprivation for Geographical Areas in Social Indicators: Statistics, Trends and Policy Development editors Candace M. Baird, Nova Publisher ISBN: 978-1-61122-841-0).
Jarman B. (1983) Identification of underprivileged areas, British Medical Journal, 286, pp. 1705-09.
Jarman B. (1984) Underprivileged areas: validation and distribution of scores, British Medical Journal, 289, pp. 1587-1592.
Johnson R.A., Wichern D.W., (2002). Applied Multivariate Statistical Analysis. 5th Edition, Prentice-Hall, Englewood Cliffs, ISBN: 0131219731, pp: 767.
Kaiser H. F. (1958), "The varimax criterion for analytic rotation in factor analysis." Psychometrika 23: 187–200.
Kaiser, H. (1960). The Application of Electronic Computers to Factor Analysis . Educational and Psychological Measurement, Vol. 20, 141-151.
Krzanowski A., Marriott F. (1995), Classification, covariance, structures and repeated measurements, part 2 Kendall’s Library of Statistics 2, Multivariate Analysis.
Levy J.B., Yoon E (1996).; “Methods of Country Risk Assessment for International Market – Entry Decision”; University of Massachusetts Lowell ISBM Report 11 – 1996
Mazziotta, C., Mazziotta, M., Pareto, A., & Vidoli, F. (2010a). La sintesi di indicatori territoriali di dotazione infrastrutturale: metodi di costruzione e procedure di ponderazione a confronto. Rivista di economia e statistica del territorio, 1, 1-33.
Mazziotta, M., Pareto, A., & Talucci, V. (2010b). La costruzione di indicatori di disuguaglianza sociale: il caso delle regioni italiane. XXXI Conferenza italiana di scienze regionali. http://www.grupposervizioambiente.it/aisre_sito/doc/papers/Mazziotta_Pareto_Talucci_AISRE.pdf
Mazziotta, M., Pareto, A. (2011). Un indice sintetico non compensativo per la misura della dotazione infrastrutturale: un’applicazione in ambito sanitario. Rivista di statistica ufficiale, 13(1), 63-79.
Mazziotta, M., Pareto, A. (2012). A Non-compensatory Approach for the Measurement of the Quality of Life. In Maggino F. and Nuvolati G. (Ed.), Quality of life in Italy (pp. 27-40). Social Indicator Research Series 48, Springer Netherlands.
Meldrum D.H. (2000) Country risk and Foreign Direct Investment, Business Economics July 34; 30-7
Munda, G., & Nardo, M. (2005). Constructing consistent composite indicators: the issue of weights. EUR 21834 EN., European Commission.
Myer, S., & Jencks, C. (1989). Poverty and the distribution of material hardship. Journal of Human Resources, Vol. 24.
Nath H.K. (2008) Country risk analysis: A survey of the quantitative methods, Working Paper Series, Sam Houstan State University, Huntsville, TX pp. 1-31
Nardo, M., Saisana, M., Tarantola, S., Hoffman, A., & Giovannini, E. (2005). Handbook on constricting composite indicators: methodology and user guide. N° 2005/3. Paris: OECD Publishing.
Pituch, K., & Stevens, J. (2016). Applied Multivariate Statistics for the Social Sciences. New York: Routledge.
San-Martín-Albizuri, N., Rodríguez-Castellanos, A. (2017) Measuring country risk: A topic of renewed interest in Managerial strategies for business sustainability during turbulent times eds by Leon, R.-D. Business Science Reference, Hershey, PA, USA
Soliani R., Di Gennaro A., Ivaldi E. (2011a) How deprivation affects life expectancy in France and Italy: comparative evidence from a factorial analysis, in Socioeconomic Status and Health Implications eds. by Reibert S. and Jannings A. Nova Publisher ISBN: 978-1-62100-675-6
Soliani R., Di Gennaro A., Ivaldi E. (2011b) An Index of the quality of life for European Country: evidence of deprivation from EU-Silc data – Proceeding of the Vienna 2011 Conference on Schumpeter’s Heritage: the evolution of the Theory of Evolution, 27-30 October 2011
Stevens J. (1986), Applied multivariate statistics for the social sciences, Hillsdale, Lawrence Erlbaum A
Stevens J. (2002), Applied Multivariate Statistics for the Social Sciences, 4th Edition, Mahwah, NJ Lawrence Erlbaum Associates.
Testi A., Ivaldi E. (2009), Material versus social deprivation and health: a case study of an urban area, The European Journal of Health Economics: Volume 10, Issue3; pp 323–328
Townsend P. (1987) “Deprivation”, Journal of Social Policy, 2, pp. 125-146.
Ward, J. (1963). Hierarchical Grouping to Optimize an Objective Function. Journal of the American Statistical Association, Vol. 58, Issue 301, 236-244.
Avramovic, D.; Husain, S.S.; de Weille, J.; Froland, J.; Hayes, J. P.; Wyss, H. (1964). Economic Growth and External Debt. Washington, D.C.: The World Bank.
Berkhin, P. (2006). A Survey of Clustering Data Mining Techniques. In J. Kogan, C. Nicholas, & M. Teboulle, Grouping Multidimensional Data: Recent Advance in Clustering (p. 25-71). Springer.
Brown Christopher L. Cavusgil Tamer, Lord A. Wayne (2015) Country-risk measurement and analysis: A new conceptualization and managerial tool. International Business Review
Volume 24, Issue 2, April 2015, Pages 246-265
Carment D. (2001); “Assessment Country Risk: Creating and Index of Severity”; Discussion Paper prepared for CIFP Risk Assessment Template. May 2001
Carstairs V. (2000), Socio-economic factors at area level and their relationship with health: In Elliott, P., Wakefield, J., Best, N., Briggs, D. (Eds.). Spatial Epidemiology methods and applications (pp. 51-68). Oxford University Press.
Carstairs V. Morris R. (1991) Deprivation and Health in Scotland. Aberdeen University Press.
Cattel, R. (1966). The scree test for the number of Factors. Multivariate behavioural research, Vol.1, Issue 2, 245-276.
Cosset, J.C. and J. Roy, (1991) The determinants of country risk ratings, Journal of International Business Studies, 22(1), 135-142.
Cukier, Mayer-Schoenberger (2013) The rise of big data: How it's changing the way we think about the world Foreign Affairs (2013)
De Muro, P., Mazziotta, M., & Pareto, A. (2007). Composite indices for multidimensional development and poverty: An application to MDG indicators. In Wye City Group Meeting. Held in Rome, Italy: June. http://www.fao. org/es/ess/rural/wye_city_group.
Dillon W., Goldstein M. (1984), Multivariate analysis method and application, New York, Wiley.
Doumpos M., Pentaraki K., Zopounidis C., Agorastos C., (2001) Assessing country risk using a multi-group discrimination method: a comparative analysis, Managerial Finance, Vol. 27 Iss: 8, pp.16 -34
Doumpos M, Zopounidis C. (2002) On the use of a multi-criteria hierarchical discrimination approach for country risk assessment. Journal of Multi-Criteria Decision Analysis, 11(4-5):279-289
Fabrigar, L., Wegener, D., MacCallum, R., & Strahan, E. (1999). Evaluating the Use of Exploratory Factor Analysis in Psychological Research. Psychological Methods, Vol. 4, n° 3, 272-299.
Forrest R., Gordon D. (1993) People and Places: a 1991 Census atlas of England, SAUS, University of Bristol.
Gordon D., Pantazis C. (1997) Breadline Britain in the 1990s, Ashgate, Ashgate Publishing Limited.
Gorsuch, R. (1983). Factor Analysis (2nd ed.). Hillsdale, NJ: Lawrence Erlbaum Associates.
Hammer P. L., Kogan A., Lejeune M.A. (2004), Country risk ratings: Statistical and Combinatorial non-recursive Models, Rutcor Research Report 8-2004.
Hoti S., McAleer M. (2004) An Empirical Assessment of Country Risk Ratings and Associated Models, Journal of Economic Survey Vol 18(4):539-588
Ivaldi E. (2013) A Proposal of a Country Risk Index Based on a Factoral Analysis: An Application to South Mediterranean and Central-East European Countries International Economics v.66 I2 Genoa
Ivaldi E., Bonatti G., Soliani R. (2016a) The construction of a synthetic index comparing multidimensional well-being in the European Union, Social Indicators Research. January 2016, Volume 125, Issue 2, pp 397-430. DOI. 10.1007/s11205-014-0855-8
Ivaldi E., Bonatti G., Soliani R. (2016b) An indicator for the measurement of political participation: the case of Italy Social Indicator Research online DOI :10.1007/s11205-016-1303-8
Ivaldi E., Di Gennaro A. (2011) Il rischio paese e la sua misurazione: una proposta di indicatore, Collana Percorsi di Scienze Economiche e Sociali n.7 Impressioni Grafiche, Acqui Terme ISBN 978-88-6195-105
Ivaldi E., Testi A. (2010) Genoa Index of Deprivation (GDI): An Index of Material Deprivation for Geographical Areas in Social Indicators: Statistics, Trends and Policy Development editors Candace M. Baird, Nova Publisher ISBN: 978-1-61122-841-0).
Jarman B. (1983) Identification of underprivileged areas, British Medical Journal, 286, pp. 1705-09.
Jarman B. (1984) Underprivileged areas: validation and distribution of scores, British Medical Journal, 289, pp. 1587-1592.
Johnson R.A., Wichern D.W., (2002). Applied Multivariate Statistical Analysis. 5th Edition, Prentice-Hall, Englewood Cliffs, ISBN: 0131219731, pp: 767.
Kaiser H. F. (1958), "The varimax criterion for analytic rotation in factor analysis." Psychometrika 23: 187–200.
Kaiser, H. (1960). The Application of Electronic Computers to Factor Analysis . Educational and Psychological Measurement, Vol. 20, 141-151.
Krzanowski A., Marriott F. (1995), Classification, covariance, structures and repeated measurements, part 2 Kendall’s Library of Statistics 2, Multivariate Analysis.
Levy J.B., Yoon E (1996).; “Methods of Country Risk Assessment for International Market – Entry Decision”; University of Massachusetts Lowell ISBM Report 11 – 1996
Mazziotta, C., Mazziotta, M., Pareto, A., & Vidoli, F. (2010a). La sintesi di indicatori territoriali di dotazione infrastrutturale: metodi di costruzione e procedure di ponderazione a confronto. Rivista di economia e statistica del territorio, 1, 1-33.
Mazziotta, M., Pareto, A., & Talucci, V. (2010b). La costruzione di indicatori di disuguaglianza sociale: il caso delle regioni italiane. XXXI Conferenza italiana di scienze regionali. http://www.grupposervizioambiente.it/aisre_sito/doc/papers/Mazziotta_Pareto_Talucci_AISRE.pdf
Mazziotta, M., Pareto, A. (2011). Un indice sintetico non compensativo per la misura della dotazione infrastrutturale: un’applicazione in ambito sanitario. Rivista di statistica ufficiale, 13(1), 63-79.
Mazziotta, M., Pareto, A. (2012). A Non-compensatory Approach for the Measurement of the Quality of Life. In Maggino F. and Nuvolati G. (Ed.), Quality of life in Italy (pp. 27-40). Social Indicator Research Series 48, Springer Netherlands.
Meldrum D.H. (2000) Country risk and Foreign Direct Investment, Business Economics July 34; 30-7
Munda, G., & Nardo, M. (2005). Constructing consistent composite indicators: the issue of weights. EUR 21834 EN., European Commission.
Myer, S., & Jencks, C. (1989). Poverty and the distribution of material hardship. Journal of Human Resources, Vol. 24.
Nath H.K. (2008) Country risk analysis: A survey of the quantitative methods, Working Paper Series, Sam Houstan State University, Huntsville, TX pp. 1-31
Nardo, M., Saisana, M., Tarantola, S., Hoffman, A., & Giovannini, E. (2005). Handbook on constricting composite indicators: methodology and user guide. N° 2005/3. Paris: OECD Publishing.
Pituch, K., & Stevens, J. (2016). Applied Multivariate Statistics for the Social Sciences. New York: Routledge.
San-Martín-Albizuri, N., Rodríguez-Castellanos, A. (2017) Measuring country risk: A topic of renewed interest in Managerial strategies for business sustainability during turbulent times eds by Leon, R.-D. Business Science Reference, Hershey, PA, USA
Soliani R., Di Gennaro A., Ivaldi E. (2011a) How deprivation affects life expectancy in France and Italy: comparative evidence from a factorial analysis, in Socioeconomic Status and Health Implications eds. by Reibert S. and Jannings A. Nova Publisher ISBN: 978-1-62100-675-6
Soliani R., Di Gennaro A., Ivaldi E. (2011b) An Index of the quality of life for European Country: evidence of deprivation from EU-Silc data – Proceeding of the Vienna 2011 Conference on Schumpeter’s Heritage: the evolution of the Theory of Evolution, 27-30 October 2011
Stevens J. (1986), Applied multivariate statistics for the social sciences, Hillsdale, Lawrence Erlbaum A
Stevens J. (2002), Applied Multivariate Statistics for the Social Sciences, 4th Edition, Mahwah, NJ Lawrence Erlbaum Associates.
Testi A., Ivaldi E. (2009), Material versus social deprivation and health: a case study of an urban area, The European Journal of Health Economics: Volume 10, Issue3; pp 323–328
Townsend P. (1987) “Deprivation”, Journal of Social Policy, 2, pp. 125-146.
Ward, J. (1963). Hierarchical Grouping to Optimize an Objective Function. Journal of the American Statistical Association, Vol. 58, Issue 301, 236-244.
Publicado
2021-05-20
Cómo citar
Ivaldi, E., Soliani, R., Parisi, P., & Legnaro, D. (2021). Un enfoque no compensatorio para medir el riesgo país en los países de la OCDE. Cuadernos Del CIMBAGE, 1(23), 83-111. Recuperado a partir de https://ojs.econ.uba.ar/index.php/CIMBAGE/article/view/2056
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