The Global Financial Cycle (GFC), defined as the fluctuations in international capital flows, asset prices, and risk appetite, has garnered significant attention from the recent international finance literature, market practitioners, and policymakers. This study employs…
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- 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 study examines the determinants of sovereign risk, focusing on the impact of geopolitical risk in emerging market economies (EMEs) sovereign risk metrics. Using local projection techniques, we evaluate the effects of geopolitical risk on credit default swaps (CDS) and EMBI indices in EMEs,…
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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…
- 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…
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In this paper, we analyze the tail-dependence structure of credit default swaps (CDS) and the global financial cycle for a group of eleven emerging markets. Using a Copula-CoVaR model, we provide evidence that there is a significant taildependence between variables related with the…
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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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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…
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The objective of this paper is to study the evolution of liquidity in the spot foreign exchange market in Colombia and its main determinants from 2006 and 2020. First, we analyze different dimensions of liquidity such as transaction costs and resilience. We achieve…
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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.
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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.
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ABSTRACT
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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 international financial crisis of 2007-2009 strongly affected asset prices, risk and growth in the advanced economies, leading to large capital movements between these economies and the emerging countries. The capital movements were reflected in sharp fluctuations in the emerging countries’…
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Abstract
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We study the determinants of sovereign default risk for a group of 23 OECD countries using quarterly data spanning the period between 2000:Q1 and 2016:Q3. Applying the recently developed panel dynamic heterogeneous common correlated effects estimator of Chudik and Pesaran [2015] our study…
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In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modelling the multivariate relationships of volatility among markets. Extending the framework of Diebold and Yilmaz [2012] we compute spillover…
