C22

A nonlinear specification of demand for cash in Colombia A nonlinear specification of demand for cash in Colombia   By Luis E. Arango and Andrés González(1)

Returns and interest rate: A nonlinear relationship in the Bogotá stock market   Returns and interest rate: A nonlinear relationship in the Bogotá stock market   Luis Eduardo Arango, Andrés González, and Carlos Esteban Posada *  Banco de la República  Summary  …

This Appendix provides a more detailed discussion of the technical results, including proofs of theorems reported in the main paper. For ease of reference notation and definitions are repeated from the main paper.

Structural time series models, frequency domain analysis, the HP-filter, and the Blanchard-Quah decomposition, are used to observe, some peculiarities of the business cycle. Such properties are those related to the volatility of the temporary component and the duration of the business cycle…

Typically, when forecasting inflation rates, there are a variety of individual models and a combination of several of these models. We implement a Bayesian shrinkage combination methodology to include information that is not captured by the individual models using expert forecasts as prior…

In the context of financial crises influenced by the development and burst of housing price bubbles, the detection of exuberant behaviors in the financial market and the implementation of early warning diagnosis tests are of vital importance. This paper applies the new method developed by…

This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as the univariate time series ARIMA . This…

A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency…

Elements of both supply and demand interact during a financial crisis, which explains the precarious growth in credit. Nonetheless, it is important that demand-side incentives be generated ex post. These also help to reactivate loans by fueling the supply of credit. The latter usually remains…

Recent months have seen a much larger influx of funds into the Colombian stock market. For example, pension fund mangers (PFM) added Col$5.84 trillion (t) to their stock market investments between 2002 and 2006 (Financial Market Superintendent, 2007), and foreign portfolio investments (short and…

Typically, central banks use a variety of individual models (or a combination of models) when forecasting inflation rates. Most of these require excessive amounts of data, time, and computational power; all of which are scarce when monetary authorities meet to decide over policy interventions.…

We study the effect of shocks to the United States government bonds term premium on Latin American government bonds term premia. For doing so, we compute dynamic multipliers. Our main findings indicate that Latin American countries’ term premia respond permanently to changes in United States…

We study the interdependence between real commodity prices and world real GDP using long-term annual data since 1870, by performing two empirical exercises. First, we compute long-term and medium-term cycles and measure their degree of synchronization for different leads and lags. Second, we…

We study the existence and international migration of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in…

A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's [13] in two ways. First, the "true" data series is observable up to a fixed period of time M. And second, preliminary figures might be biased estimates of the true series. Otherwise,…