G21

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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...

A Market Risk Approach to Liquidity Risk and Financial Contagion

According to traditional literature, liquidity risk in individual banks can turn into a system-wide financial crisis when either interbank credit exposures or bank runs are present. This paper shows that this phenomenon can also arise when individual liquidity risk trans- forms into system-wide...

An Alternative Methodology for Estimating Credit Quality Transition Matrices

This study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estimating transition matrices conditioning on...

An empirical characterization of mortgage default in Colombia between 1997 and 2004

This paper examines the relationship between mortgage default decisions and relevant observable variables under the light of a random utility model. The focus of the study is the Colombian mortgage market between 1997 and 2004 using two separate data sets that are matched using simulation...

An Exploration on Interbank Markets and the Operational Framework of Monetary Policy in Colombia

We set a dynamic stochastic model for the interbank daily market for funds in Colombia. The framework features exogenous reserve requirements and requirement period, competitive trading among heterogeneous commercial banks, daily open market operations held by the Central Bank (auctions and...

An Industrial Organization Analysis for the Colombian Banking System

This paper presents two versions of a spatial competition model for the banking sector. The first version, describes a framework that follows closely Salop’s spatial competition model. This version is modified in the second part by introducing the loan market and default risk probabilities for...

Bank Lending Channel of Monetary Policy: Evidence for Colombia, Using a Firms´ Panel

In this paper we find empirical evidence of bank lending channel for Colombia, using a balanced panel data of about four thousand non-financial firms. We find that increases in the interest rate, proxiing for the monetary policy instrument, lead to a reduction in the proportion of bank loans,...

Bank Lending Channel of Transmission of Monetary Policy: Does the Financial Structure of Banks Matter?

This paper tests the importance of the financial structure of banks in the bank lending channel of monetary policy transmission in Colombia, using an unbalanced panel of 51 banks for the period of 1996:4-2014:8. We find that an increase in the interbank rate (proxy of the intervention rate) has...

Bank Lending, Risk Taking, and the Transmission of Monetary Policy: New Evidence for Colombia

We study the  existence of a monetary policy transmission mechanism through banks in Colombia, using monthly banks’ balance sheet data for the period 1996:4 – 2012:12. We obtain results which are consistent with the basic postulates of the bank lending channel (and the risk-taking channel)...

Banking Efficiency in Colombia: A Review of the Literature

Research on banking performance and efficiency has advanced greatly in the past three decades, justified by the importance of a properly functioning financial system to the economy in general. In Colombia, too, banks have been the subject of research studies, though as yet to a lesser extent...

Banking fragility in Colombia: An empirical analysis based on balance sheets

In this paper, we study the empirical relationship between credit funding sources and the financial vulnerability of the Colombian banking system. We propose a statistical model to measure and predict banking fragility episodes associated with credit funding sources classified into retail...

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...

Banks in Colombia: how homogeneous are they?

In complex systems, homogeneity (i.e. lack of diversity) has been documented as a source of fragility. Likewise, financial sector’s homogeneity has been documented as a contributing factor for systemic risk. We assess homogeneity in the Colombian case by measuring how similar banks are regarding...

Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries

This paper evaluates the effects of capital account controls adopted in the past years by the FLAR’s member countries (Bolivia, Colombia, Costa Rica, Ecuador, Perú and Venezuela) on the efficiency of the banking sector, the economic growth and the volatility of output, consumption, and...

Colombian Bank Efficiency and the Role of Market Structure

Colombia’s financial system has undertaken major changes during the last decade, with new regulatory regimes being implemented, as well as a significant expansion of financial services. Nevertheless, the recent literature has yet to analyze this new epoch for banking institutions under an...

Colombia’s Secondary Mortgage Market

The purpose of this paper is to analyze and monitor the transition process mortgage funding system in Colombia. In particular, it presents an overview of the market, from the point of view of loan securitizations and mortgage-backed bonds offers, regulated by Decree 179 of 2001 and Securities...

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...

CrashMetrics: An Application for Colombia

The financial crisis of the late 2000's highlighted the importance of strengthening risk management systems in financial markets. Consequently, an increasing interest in strategies to quantify risk under extreme scenarios has spawned. One of such techniques is CrashMetrics, a methodology for...

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 cards in middle and low income people in Colombia. What do determine their use?

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

 

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