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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...

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....

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...

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...

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 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 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 Accelerator Mechanism in a Small Open Economy

Using Bayesian estimation techniques, we estimate a small open economy DSGE model with credit-market imperfections for the Colombian economy. Using the estimated model we investigate what are the sources of business cycle fluctuations. We show that balance-sheet effects play an important role in...

Finance neutral potential output: an evaluation on an emerging market monetary policy context

In this paper output gaps that include financial cycle information are evaluated against models used in policy analysis by the Colombian central bank. Employing this dataset is no trivial matter, since policy related models are the only relevant yardstick, and emerging economies (such as...

Estimation of Conditional Time-Homogeneous Credit Quality Transition Matrices for Commercial Banks in Colombia

This paper presents an estimation of credit quality transition matrices for commercial banks in Colombia, using a duration hazard function model, and following the methodology proposed by Gómez-González et al (2009). Using a test developed by Weißbach et al (2005), we test for the time-...

Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach

 

Economic Sectors and the Risk-taking Channel of Monetary Policy

 

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.

 

Does the Spot Curve Contain Information on Future Monetary Policy in Colombia?

In order to asses the credibility of their targets and policies, inflation targeting central banks always keep an eye on market expectations of the future inflation rates and short maturity interest rates. In economies with developed financial markets the prices of financial assets are a prime...

Credit and Saving Constraints in General Equilibrium: Evidence from Survey Data

In this paper, we build a heterogeneous agents-dynamic general equilibrium model wherein saving constraints interact with credit constraints. Saving constraints in the form of fixed costs to use the financial system lead households to seek informal saving instruments (cash) and result in lower...

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 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...

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...

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...

Beyond Bubbles: The role of asset prices in early-warning indicators

Asset price bubbles are amongst the most talked-about yet misunderstood topics in economics. Theoretical researchers debate between rational, nonrational or even non-existent bubbles, while empiricists tackle the issue with state-of-the-art econometric tools yielding mixed results.

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