We assess the causes and implications of the greater nancial participation in commodity markets post-2003. Focusing on crude oil, we build a calibrated macro- nance model of oil prices and quantities that also determines consumer welfare. We show that shifts in the preferences and constraints…
G12
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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…
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The fi nancial crisis of the late 2000's highlighted the importance of strengthening risk management systems in fi nancial 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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We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of a better and consistent…
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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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Asset prices have recently become a common topic in economic debate. Nevertheless, much time has been spent in determining if they effectively exhibit a bubble component, and not in examining whether asset prices affectively contain relevant information concerning future market developments.…
