Working Papers on Economics

This paper presents the construction of a tailor-made Macro Computable General Equilibrium Model for the Colombian economy that satisfies Banco de la República's macroeconomic programming and forecasting interests. Using information on the national accounts divulged by the National Statistics…

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…

Our research seeks to determine the impact on female labor outcomes of the amendment on the Colombian labor law in which maternity leave was extended from 12 to 14 weeks (through Law 1468 of July 2011). To identify this impact we compare labor market outcomes of two groups of women with…

The sudden collapse of oil prices poses a challenge to inflation targeting central banks in oil exporting economies. This paper illustrates that challenge and conducts a quantitative assessment of the impact of permanent changes in oil prices in a small and open economy, in which oil represents…

The informal sector is an extensive phenomenon in developing countries. While some of its implications have drawn considerable attention in the literature, one relatively unexplored aspect has to do with the saving patterns of workers and firms and how these might influence aggregate savings 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.…

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…

We argue that international lenders take into account that taxes (or subsidies) affect borrowers’ available income for debt repayments. Using an endowment-economy model, we show that by incorporating this fact into the analysis of …financial crises from the pecuniary externality perspective, ex-…

We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on financial institutions’ reported data.…

We provide evidence of private returns to education and of externalities which jointly render social returns to education in Colombia. The spillover is generated by the share of college-educated workers within the working-age population. Thus, the higher this share in the cities, the higher the…

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…

In this paper we formulate a dynamic multi-unit auction model to characterize bidding behavior in hydro power dominated electricity markets. Our model implies that, in order to maximize expected profits, hydro producers will submit bid prices above its marginal production costs that account for…

Together with a set of not commonly reported ones, the most widely known stylized facts of high frequency Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico, and Peru with respect to the US Dollar are studied and interpreted to the light of recent literature in this paper.

This  paper  uses  the  Colombian  National  Health  Survey  to  analyze  the relationship between education and risky health behaviors, namely smoking, heavy drinking, being obese, and unsafe sexual behavior, by estimating the education gradient…

This paper analyzes the role of the Great Depression and protectionism in the Colombian industrialization of the early 1930s as well as the role of other determinants in the rapid industrialization that took place during the period 1934-1953. We conclude that the market pushed industrialization…

Many central banks that have opted for monetary autonomy have also been reluctant to relinquish control over the value of their currencies. As a result, they have operated through both interest rate and foreign exchange interventions.  However, in the context of the monetary trilemma, both…

This paper examines the non-reversal of fortune thesis proposed by Acemoglu, Johnson, and Robinson (2002) in the light of the Colombian experience over the last 500 years. Using a total of 14 national population censuses and the record of tributary Indians in 1559, it is found that the…

The most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology…

This paper presents evidence of the effect of the recent phases of the business cycle in Spain and United States, proxied by their respective unemployment rates, on the labor market of Colombian cities with high migration tradition. These countries are the main destination for labor Colombian…

R&D intensity for small firms is high and persistent over time. At the same time, small firms are often financially constrained. This paper proposes a theoretical model that explains the coexistence of these two stylized facts. It is shown that self-financed R&D investment can distort…