Study of the financial economy of investment funds in Bolivia
The project focuses on the relationship between the profitability achieved and the profitability expected by the Investment Funds in Bolivia, the historical returns, their characteristics, the determining factors, as well as the level of risk are studied, taking into account the differences between the Open and Closed Investment Funds.
Bolivia was chosen because at present the publications in the financial field are limited, most of it focuses on the financial intermediation system, therefore, this document presents for the first time an investigation on the financial economy of the Investment Funds in Bolivia
In principle, the performance of the Investment Funds was studied and their results in terms of profitability and risk were compared with the market model. The examination was carried out using public information obtained from the Bolivian Financial System Supervisory Authority. The method used was based on the application of financial indicators and an economic economy of the chosen model, in this way it was possible to identify the best Investment Funds and they were characterized according to their level of equilibrium with respect to the Securities Market Line.
Subsequently, an empirical analysis of the determining factors of the historical returns achieved by the Investment Funds was carried out. Through the formulation of an auto regressive vector model with panel data and structural auto regressive vectors, it was possible to analyze the dynamic interdependencies between the variables that affect the performance of the funds. The permitted results conclude that the increase in the interest rate of fixed-term deposits, the reduction in the rate of change in liquidity of financial institutions, the increase in the rate of change in economic activity and the reduction in inflation , have a positive effect on the profitability of Investment Funds.
Finally, concepts and applications related to financial econometric models were presented, the main objective was to determine the level of volatility of the returns reported by the Investment Funds. By determining heteroscedastic self-regressive models, a baseline could be established to measure the level of risk existing in the profitability achieved by the Investment Funds.
Responsible for the project:
Alejandro Vargas Sanchez, Ph.D. (CIIFI)
Contact: alejandrovargas@lp.upb.edu
