We examine the extent in which the ratios of book-to-market and earnings-to-price predict excess asset returns in an emerging market economy like Colombia. We want to find the magnitude in which these ratios help to forecast excess returns and if there is any evidence …
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- Publicación |Abstract
- Publicación |Abstract
In this paper, we analyze the tail-dependence structure of credit default swaps (CDS) and the global financial cycle for a group of eleven emerging markets. Using a Copula-CoVaR model, we provide evidence that there is a significant taildependence between variables related with the…
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- Publicación |
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.
- Publicación |
- Publicación |
Together with a set of not commonly reported ones, the most widely known stylized facts of high frequency Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico, and Peru with respect to the US Dollar are studied and interpreted to the light of recent literature in this paper.
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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…
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This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson & Siegel and Svensson. Several forecasting methodologies are contrasted: an autoregressive model, a vector…