E32


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50 Years of Job Vacancies in Colombia: The Case of Bogota, 1960-2010

This paper presents a novel monthly dataset of job vacancies in Bogota between 1960 and 2010. The dataset was constructed by counting the number of help-wanted announcements published in the most important newspaper with national circulation—namely, El Tiempo. We describe the methodology used to...

A Leading Index for the Colombian Economic Activity

In this paper, we propose a methodology for calculating a leading index of the economic activity based on a modification of Stock and Watson’s (1989, 1991, 1992) approach. We use Kalman filter techniques for estimating the state space representation of the leading index model. The methodology is...

A Model of Rule-of-Thumb Consumers With Nominal Price and Wage Rigidities

This document presents a dynamic stochastic general equilibrium model with rule of thumb (Non-Ricardian) agents and both nominal price and wage rigidities. The model follows closely that of Galí et al. (2004) and expands it to include a second way form of heterogeneity (besides the Non-Ricardian...

About a Coincident Index for the State of the Economy

The construction of coincident indexes for the economic activity of a country is a common practice since the fifties. The methodologies vary from heuristic methods to probabilistic or statistical ones. In this paper, we present a new procedure for estimating a coincident index of the state of...

An Early Warning Model for Predicting Credit Booms Using Macroeconomic Aggregates

In this paper, we propose an alternative methodology to determine the existence of credit booms, which is a complex and crucial issue for policymakers. In particular, we exploit the Mendoza and Terrones (2008)’s idea that macroeconomic aggregates other than the credit growth rate contain...

An Early Warning Model for Predicting Credit Booms Using Macroeconomic Aggregates

In this paper, we propose an alternative methodology to determine the existence of credit booms, which is a complex and crucial issue for policymakers. In particular, we exploit the Mendoza and Terrones’s (2008) idea that macroeconomic aggregates contain valuable information to...

Asset Price bubbles and monetary policy in a small open economy

In this paper we expanded the closed economy model by Bernanke and Gertler (1999) in order to account for the macroeconomic effects of an asset price bubble in the context of a small open economy model. During the nineties emerging market economies opened their financial accounts to foreign...

Asset Price Bubbles and Monetary Policy in a Small Open Economy

In this paper we expanded the closed economy model by Bernanke and Gertler (1999) in order to account for the macroeconomic effects of an asset price bubble in the context of a small open economy model. During the nineties emerging market economies opened their financial accounts to foreign...

Banking Productivity and Economic Fluctuations: Colombia 1998-2000

I build a general equilibrium, financial accelerator model that incorporates an explicit technology for the intermediary sector. A credit multiplier emerges because of a borrowing constraint that is a function of asset prices, internal funds and lending rates. With this financial friction I show...

Colombian Economic Growth under Markov Switching Regimes with Endogenous Transition Probabilities

 

Commodity Booms, Dutch Disease, and Real Business Cycles in a Small Open Economy: The Case of Coffee in Colombia

Este documento propone un modelo multisectorial de crecimiento, dinámico y estocástico que integra la literatura de ciclo económico real con la de economías con sectores en bonanza y enfermedad holandesa para analizar fluctuaciones, asignación de recursos y los cambios en precios relativos en...

Consumer Credit Performance over the Business Cycle In Colombia: Some Empirical Facts

This paper studies the behavior of the survival function of accruing loans during the slowdown experienced by the Colombian economy between January-2008 and March-2009 as documented by Alfonso et al. (2013). We use a dataset with information of different vintage loans between July-2007 and March...

Countercyclical Banking Capital Buffers in a DSGE Model

In this document we develop a DSGE model to analyze the eect that a consumption boom and a productivity shock have over nancial stability and macroeconomic variables, in both, an economy with and without Basel III capital requirements and earnings reinvestment rule. The results suggest that...

Credit and Business Cycles: An Empirical Analysis in the Frequency Domain

The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the …financial sector. Paradoxically, up until the …financial world crisis of 2007-2009, little attention was given to macroeconomic and …financial interdependence. And, in spite of a...

Credit and business cycles: Causal effects in the frequency domain

The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007–2009, little attention was given to macroeconomic and financial interdependence. In this paper, a study is...

Credit Cycles, Credit Risk and Countercyclical Loan Provisions

In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present microeconometric evidence of the positive relationship between rapid credit growth and deterioration in lending portfolios: Loans granted during boom periods have higher probability of default than...

Credit Cycles, Credit Risk and Countercyclical Loan Provisions

In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present micro-econometric evidence of the positive relationship between rapid credit growth and deterioration in lending portfolios: Loans granted during boom periods have higher probability of default than...

Credit Pro-cyclicality and Bank Balance Sheet in Colombia

The recent financial crisis has renewed the interest of economists, both at the theoretical and empirical level, in developing a better understanding of credit and its mechanisms. A rapidly growing strand of the literature views banks as facing funding restrictions that condition their borrowing...

Depressions in the Colombian economic growth during the XX century: A Markov Switching Regime Model

In this paper, we modeled the Colombian long run economic growth (1925-2003) using a two- regime first order Markov switching model. We found evidence of non-linearity in the annual rate of economic growth. The results show that changes between regimes are sudden and sporadic. The Colombian...

Disinflation Costs Under Inflation Targeting in Small Open Economy

Since 1991, inflation in Colombia was reduced from 25% on average to about 6% more recently. Although this performance is in line with a long run inflation target of 3%, some analysts ask whether the Central Bank should continue disinflating. In this paper we present a dynamic stochastic general...

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This content has been translated into English for informational purposes. Upon any query regarding its interpretation or enforceability, the Spanish version shall be deemed official, and will prevail over the English version. The authors of specific texts such as working papers or articles select the language of publication; therefore, there might be cases in which the content may only be available in English. 

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