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A dynamic approach to intraday liquidity needs

This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary concepts of payment occurs. Using the Bank of...

Causes and Implications of Shifts in Financial Participation in Commodity Markets

We assess the causes and implications of the greater nancial participation in commodity markets post-2003. Focusing on crude oil, we build a calibrated macro-nance model of oil prices and quantities that also determines consumer welfare. We show that shifts in the preferences and constraints of...

Clustering and forecasting inflation expectations using the World Economic Survey: the case of the 2014 oil price shock on inflation targeting countries

This paper examines inflation expectations of the World Economic Survey for ten inflation targeting countries. First, by a Self Organizing Maps methodology, we cluster the trajectory of agents inflation expectations using the beginning of the oil price shock occurred in June of 2014 as a...

Colombian liberalization and integration to world trade markets: Much ado about nothing

 

The opinions contained in this document are the sole responsibility of the authors and do not commit Banco de la Republica or its Board of Directors.

 

 

Macro-prudential assessment of Colombian financial institutions’ systemic importance

This document presents an enhanced and condensed version of preceding proposals for identifying systemically important financial institutions in Colombia. Three systemic importance metrics are implemented: (i) money market net exposures network hub centrality; (ii) large-value payment system...

Operational Risk Management using a Fuzzy Logic Inference System

Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches.  Engineering has faced the same challenges when designing practical...

Short-Term Liquidity Contagion in the Interbank Market

We implement a modified version of DebtRank, a measure of systemic impact inspired in feedback centrality, to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue, measured as the decrease in financial...

Systemic Importance Index for Financial Institutions: A Principal Component Analysis Approach

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions’ systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a non-trivial...

Too-connected-to-fail Institutions and Payments System’s Stability: Assessing Challenges for Financial Authorities

The most recent episode of market turmoil exposed the limitations resulting from the traditional focus on too-big-to-fail institutions within an increasingly systemic-crisis-prone financial system, and encouraged the appearance of the too-connected-to-fail (TCTF) concept. The TCTF concept...