Foreign portfolio investments can affect the Colombian exchange market mainly through the demand for hedging that investors make in the foreign exchange derivatives market, and the exchange of dollars for pesos that materializes when investing in public debt…
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This paper analyses the behavior of household consumption in Colombia during Covid-19 post pandemic. Initially, it introduces a regional comparison emphasizing in the severity of lockdown and the government fiscal responses. Then, it describes the dynamics of the main consumption…
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Colombia saw a drop in investment as a result of the COVID-19 shock, which resulted in a negative gap in the second quarter of 2020 of -2.8% of the GDP. In the context of the region, Peru was hardest hit, while countries such as Mexico, Chile, and Brazil suffered minor setbacks. The…
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Assessing the effects of U.S. monetary policies on portfolio flows is important for policymakers as they could pose risks to the effectiveness of domestic monetary policy. This paper analyzes the effects of the Global Financial Cycle (GFC) and Federal Reserve (Fed) unconventional…
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We revisit an old question but with a new identification strategy, namely the difference in exchange rate effects between announced (“vocal”) and secret (“dirty”) foreign exchange intervention. Using a Regression Discontinuity Design, we exploit a rule-based intervention mechanism…
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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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We introduce a methodology for generating alerts of potential anti-competitive practices in the Colombian wholesale electricity market.
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One of the lessons we learned from the 2008 financial crisis was the importance of monitoring the systemic risk in the stability of financial systems. In this regard, lines of research have been developed with the aim to provide reliable and timely metrics on this risk, taking as much…
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This paper proposes comprehensive measures of the Latin American business cycle that help to infer the expected deepness of recessions, and strength of expansions, as they unfold in real time. These measures are based on the largest country economies in the region by accounting for…
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Assessing the dynamics of risk premium measures and its relationship with macroeconomic fundamentals is important for both macroeconomic policymakers and market practitioners. This paper analyzes the main determinants of CDS in Latin-America at different tenures, focusing on their…
- Publicación |Abstract In this article, we study the impact of exchange rate depreciation and volatility on the sovereignyield curve during the 2008 - 2020 timeframe. We do this by estimating univariate and multivariatetime series models and a threshold vector autoregressive model.
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This document examines the effects of public and private investment in transportation infrastructure on the Colombian economy in the short and long run. In particular, it analyzes the historical evolution of the transportation infrastructure in Colombia, reviews the institutional…
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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.
- 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 |
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 |
Las opiniones contenidas en este documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
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Although transactions of foreign exchange market intermediaries with the real sector in the peso-dollar market are low in comparison to the ones with offshore agents, it is important to understand the behavior of the real sector and its impact on the exchange market. This paper assesses…
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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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We study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets.…
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We study the relation between oil prices and stock market returns for a set of six countries, including important oil consumers and demanders. We study interconnectedness between oil and stock markets and characterize the dynamics of transmission and reception between them. We test for Granger…