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Financial Accelerator Mechanism: Evidence for Colombia

Colombia experienced a deep recession in 1999-2003. Growth slowed by 4.2%, and investment by 34.6%. Was the severity of the recession due to a financial accelerator mechanism á la Bernanke, Gertler, and Gilchrist (1999)? To answer this question, this paper estimates a dynamic stochastic general...

Financial Conditions Index: Early and Leading Indicator for Colombia

This paper is an attempt at constructing a simple and effective macroprudential tool for policymakers. By integrating the joint occurrences of the main financial markets in Colombia into a single Financial Conditions Index (FCI), we hope to synthesize the information embedded in them regarding...

Financial conditions index: Early and leading indicator for Colombia

This paper is an attempt at constructing a simple and eff

Financial Frictions and Optimal Monetary Policy in a Small Open Economy

In this paper we set up a small open economy model with financial frictions, following Curdia and Woodford (2010)’s model. Unlike other results in the literature such as Curdia and Woodford (2010), McCulley and Ramin (2008) and Taylor (2008), we find that optimal monetary policy should not...

Financial Intermediation and Monetary Policy in a Small Open Economy

This paper analyses the role of a costly financial system in the transmission of monetary policy. The new-keynesian model for a small open economy is extended with a simple financial system based on Hamann and Oviedo (2006). The presence of the financial intermediation naturally allows the...

Global Risk Appetite and EMBI‑Colombia: Evidence on a Structural Break and the Fiscal Policy Role

This paper shows that the Colombian sovereign risk (EMBI‑Colombia) is mainly determined by international investors’ risk appetite, whose response is non‑linear and depends on the government fiscal stance. It is also shown that the relationship between these variables experienced an important...

Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data

We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on financial institutions’ reported data....

Interest rate pass-through in Colombia: a micro-banking perspective

Banks and other credit institutions are key players in the transmission of monetary policy, especially in emerging market economies, where the responses of deposit and loan interest rates to shifts in policy rates are among the most important channels. This pass-through depends on the conditions...

Interest Rate Pass-Through in Colombia: A Micro-Banking Perspective

The importance of the banking sector as a key player in interest rate passthrough has been recognized recently in literature concerning monetary policy transmission mechanisms. The interest rate channel, which operates when banks pass on changes in the monetary policy rate to interest rates for...

Monetary transmission under competing corporate finance regimes

The behavioral agent-based framework of De Grauwe and Gerba (2015) is extended to allow for a counterfactual exercise on the role of corporate finance arrangements for monetary transmission. Two alternative firm financial frictions are independently introduced: market-based and bank-based. We...

Optimal Monetary Policy and Asset Prices: the Case of Colombia

The unfolding of the 2007 world financial and economic crisis has highlighted the vulnerability of real economic activity to strong fluctuations in asset prices. Which is the optimal monetary policy in an economy like the Colombian that is exposed to swings in asset prices? What is the...

Optimal Monetary Policy and Asset Prices: The case of Colombia

The unfolding of the 2007 world financial and economic crisis has highlighted the vulnerability of real economic activity to strong fluctuations in asset prices. Which is the optimal monetary policy in an economy like the Colombian that is exposed to swings in asset prices?...

Optimal v. simple financial policy rules in a production economy with “liability dollarization”

We evaluate the effectiveness of financial policy rules in a small open economy with production, liability dollarization and “unconventional shocks” (global liquidity shifts and news about future fundamentals). Tradable and nontradable final goods are produced with tradable inputs. Debt is...

SYSMO I: A Systemic Stress Model for the Colombian Financial System

 

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

 

The Case for Macro Risk Budgeting and Portfolio Tranching in Reserves Management

The Interdependence between Credit and Real Business Cycles in Latin American Economies

In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cycles are usually more volatile than medium...

The International Cycle and Colombian Monetary Policy

The objective of this paper is to analyze how international cycles affect the real GDP cycle and so monetary policy decisions in Colombia. We estimate that cycles in world GDP, export prices and capital inflows are strongly associated with the Colombian business cycle both on impact and even...

The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia

The recent financial crisis has brought to the forefront the need of a better understanding of the transmission mechanisms of monetary policy. The main step forward in this direction has drawn on work aimed at stressing the role of the financial sector in this transmission. Particular emphasis...

The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia

The recent financial crisis has brought to the forefront the need for a better understanding of the transmission mechanisms of monetary policy.

The Risk-taking Channel in Colombia Revisited

Levels of interest rates below historical norms may have enhanced financial instability in both developed and in developing economies during the 2000´s. The risk-taking channel of monetary transmission policy is a recent theory that explains the interaction between risk perceptions of the...

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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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