G23
A continuación, se listan los contenidos disponibles en el portal relacionados con la consulta.
- Publicación |Nuestros resultados muestran que la existencia de subsidios implícitos ocasiona que los individuos prefieran estar en el actual sistema privado mientras se cotiza, pero en el público para pensionarse.
- Publicación |Nuestros resultados muestran que los controles de capital reducen las entradas de deuda en moneda extranjera y que la reducción es relativamente más fuerte para las empresas con mayor endeudamiento en moneda extranjera ex ante.
- Publicación |Abstract
Assessing the composition of sovereign debt holders is important because investors’ behavior varies according to distinctive components, including shareholders’ preferences, regulatory constraints, and profitability mandates. To study this issue, we examine the determinants of…
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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.
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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…
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In the present paper we remark that the absence of an intrinsic or fundamental value represents a problem for the stability of the bitcoin’s price as an asset. In addition, we consider some financial stability concerns that derive from the hypothesis that the bitcoin will survive as an asset…
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Mandatory pension fund (MPF) affiliates in Colombia do not have a great deal of information to gauge the financial performance of pension fund managers (PFM). At present, each PFM publishes a monthly report on average profitability for the preceding 36 months (tri-annual yield). However, this…
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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…
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The World Bank has proposed an alternative hedging instrument to be offered by the FRECH, instead of the collar-swap currently available. The suggested derivative corresponds to a European Cap option for the real interest rate, which could give greater flexibility to the hedging mechanism,…
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The effects of the Pension Fund Managers (PFMs) behavior on the foreign exchange market may be important, given the increasing size of their portfolio and their possible market power. Some authors argue that when big investors like PFMs trade large volumes in the foreign exchange market, they…
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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…
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First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix…
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A minimum performance insurance in the Principal-Agent problem is wealth reducing to the principal. This result points to further inefficiencies in mandatory individual Pension Funds' contracts, particularly the one established in the 1993's 100th Law in Colombia.