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A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt

In this paper we check the relationship between the yields of the Colombian bonds traded in the (secondary) internal market and the yields of the sovereign global securities for the sample period 1999-2001. The hypothesis we maintain is that, under the assumption of capital mobility, it should...

Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation

This paper presents an analysis of the exchange rate pass-through mechanism for the Mexican economy after the formal adoption of inflation targeting policy. In particular, this research work analyzes how a change in the nominal exchange rate depreciation is transmitted to domestic prices along...

Assessing the Macroeconomic Effects of Fiscal Policy in Colombia

The focus of this paper is on the short-term macroeconomic effects of fiscal policy in Colombia in a structural vector autoregression context. Government spending shocks are found to have positive and significant effects on output, private consumption, employment, prices and short-term interest...

Asymmetric Effects of Terms of Trade Shocks on Tradable and Non-tradable Investment Rates: The Colombian Case

 

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.

 

Coincident economic activity indicator in a pandemic recession: The Colombian Caribbean case - Documentos de Trabajo sobre Economía Regional y Urbana

Abstract

Current Account Sustainability in Latin America Considering Nonlinearities

We test current account sustainability based on the framework developed by Hakkio and Rush [1991] and Husted [1992] using a two-regime threshold vector error correction model. This methodology allows us to characterize short-run nonlinearities in the current account. We estimate the model for...

Detecting exchange rate contagion using copula functions

 

Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. Los autores son los únicos responsables por errores de contenido.

 

 

Dynamic Response to Monetary Shocks in a Search Model of the Labor Market*

This paper studies the dynamic response of a few key macroeconomic variables to each one of three exogenous shocks: monetary, government spending and technological shocks. By using a cash in advance model with two market frictions, one in the intermediation of loanable funds, and one in the...

Estimations of the natural rate of interest in Colombia

Three methodologies to estimate the natural interest rate, NIR, are implemented for the Colombian economy. Two methods are statistical filters and the third involves some economic theory. The first method is based on unobserved components decomposition of the real interest rate and explores the...

Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...

Exchange Rates Contagion in Latin America

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates....

Extracting the Sovereigns’ CDS Market Hierarchy: A Correlation-filtering Approach

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correlation matrices by extracting the dominant...

Financial Contagion in Latin America

This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period comprised between July 4th, 2001 and...

Forecasting Latin-American Yield Curves: An Artificial Neural Network Approach

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...

Foreign Debt Flows and Domestic Credit: A Principal-Agent Approach

The relationship between capital ows and domestic credit emerges from dierent channels which are usually not directly identied. In this paper, a principal-agent approach is proposed in order to disentangle the channels through which shocks on capital debt ows can aect credit-related variables....

Foreign Debt Flows and the Credit Market: A Principal Agent Approach

As has been documented in different studies, there is a close relationship between capital flows and domestic credit. This relationship emerges from different channels, which are usually not directly identified. In this paper, a principal-agent approach is proposed in order to disentangle the...

Identifying Fiscal Policy Shocks in Chile and Colombia

Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a peso-for-peso ($/$) effect on output of a shock to public spending and to...

Inflation Targeting in Emerging Economies

Abstract

Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients,...

Monetary Neutrality in the Colombian Real Exchange Rate

Monetary neutrality in the colombian Monetary neutrality in the Colombian real exchange rate


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