MODELIZACIÓN ECONOMÉTRICA BAJO LA METODOLOGÍA DE BOX-JENKINS. ESTUDIO EMPÍRICO A LA LIQUIDEZ DEL SISTEMA FINANCIERO ECUATORIANO

Abstract

The global financial crisis of 2008 produced a global contagion effect on financial institutions, this generated the regulation of the control bodies of the different countries and on the other hand, the intervention of the Basel Supervision Committee with an extension to the regulations of Basel II, in order to protect and safeguard depositors' money. This document presents an econometric modeling under the Box-Jenkins methodology with historical data obtained from the year 2000 to 2017, using the most significant variables of the private financial system such as: evolution and structure of deposits, evolution of the balance of the credit portfolio, annual growth rate of the credit portfolio, liquid assets, solvency index, delinquency rate by credit segment, liquidity index and finally the rate of return on equity; the variable of liquid assets is used as an explanatory variable, made up of the sum of the available funds and the investments of the private financial sector. The results allow determining the impact that the variables of the private financial system exert on the liquidity of the Ecuadorian Financial Institutions.