G11
Below are the contents available on the site related to the query.
- Publicación |Market frictions and banking regulations limit the liquidity of the derivatives market, particularly affecting large firms. Foreign exchange interventions have asymmetric effects: they implicitly protect small firms under low intervention scenarios, but benefit large firms when intervention is high.
- Publicación |Abstract
We provide the first comprehensive analysis of the flow-performance relation in Colombian open-end investment funds. We employ a rich dataset containing weekly information at the fund level, including balance sheets, portfolio holdings, liquidity indicators, capital…
- Publicación |Se evidencia que los bancos con alta exposición a inversionistas pasivos muestran una mayor sensibilidad a factores globales y tienden a ajustar más sus balances cuando se acercan a límites regulatorios de exposición extranjera.
- Publicación |This document examines the evolution and determinants of portfolio flows in the Colombian economy, which comprises investments on public debt bonds, shares, and private bonds. Structural changes along the last few years owed to either regulatory or market shocks are identified. The international…
- 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…
- Publicación |Abstract An event study is used to assess whether there are significant impacts on the Colombian abnormal returns of the stock market from the takeover bids (OPAs) made on the companies Nutresa and Sura. Defining the event as January 17, 2022, which is related to the award of the first OPAs and…
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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 |Findings regarding liquidity shocks
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Abstract
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In this paper we study exchange rate effects due to shifts in the portfolio composition of the Colombian financial sector during 2003-2014. We first provide a theoretical understanding of the channel's transmission mechanism by modeling how the banking sector optimally allocates its portfolio…
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Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term´s memory existence, serial-independence assumption prevails. This document´s long-term dependence…
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Can technological misallocation generate financial frictions? We build a theoretical model with testable implications, in which the misallocation between R&D and production activities generates borrowing constraints. The investor offers the innovator a rent that is contingent to the success…
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This document explores an alternative strategic asset allocation framework for foreign exchange reserves, whose main purpose is to maximize the risk-adjusted returns maintaining the objectives of liquidity and safety of a foreign reserves’ portfolio. The overall portfolio can be…
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This paper presents a DSGE model with banks that face moral hazard in management. Banks receive demand deposits and fund investment projects. Banks are subject to potential withdrawals by depositors which may force them into early liquidation of their investments. The likelihood of this…
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Financial institutions rate loans as an expression of the risk they believe the client poses. With the data from those ratings, they can evaluate the current quality of their balance sheet and calculate the loan-loss provisions required for their loan portfolio. A loan rating also is an…
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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…
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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…
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This paper studies foreign and domestic firms in Colombia and, in particular, whether these firms behave differently. The study uses a dataset containing the 2003 balance sheets and income statements for some 7,001 firms. The dataset was obtained from the Superintendencia de…
