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The form of the Engel curve has long been a subject of discussion in applied econometrics and until now there has no been definitive conclusion about its form. In this paper an additive partially linear model is used to estimate semiparametrically the effect of total expenditure in the context of…

This paper presents an estimation of credit quality transition matrices for commercial banks in Colombia, using a duration hazard function model, and following the methodology proposed by Gómez-González et al (2009). Using a test developed by Weißbach et al (2005), we test for the time-homogeneity…

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…

We study the earnings gap against indigenous and afro-descendants, separately, and use the non-parametric decomposition approach proposed by Ñopo (2008) to understand the role of observable characteristics and historical legacies in explaining it. The earnings gap against indigenous workers is…

Using data from the 2010 Colombia Demographic and Health Survey and of the National Survey of the Nutritional Situation in Colombia (ENDS-ENSIN), we analyzed the evolution of the height for the Colombian birth cohorts in the period 1946-1992 by ethnic groups defined through self-classification. We…

Macroprudential tools have been used around the world as a mechanism to control potential risks and imbalances in the financial sector. Colombia is a good example of a country that has employed different regulatory measures to manage systemic risks in the economy. The purpose of this paper is to…

 In this paper we find empirical evidence of bank lending channel for Colombia and Argentina. As for Argentina, we do not find evidence that changes in the interbank interest rate affect the growth rate of total loans directly. However, it does indirectly through interactions: the interbank…

AbstractThe burden of Non-Communicable Diseases (NCDs) is expected to increase due to the aging of the population and risk factors from unhealthy lifestyle habits. This paper aims to analyze how the evolution of NCDs (e.g., Cancer, Diabetes, Cardiovascular Disease, Chronic Respiratory Disease, and…

AbstractA vast amount of literature in Colombia has studied differentials in working conditions and income inequalities. Empirical results have shown that inequalities in the country have been persistent. Disparities in the health conditions of individuals have received less attention in a country…

Abstract In this paper, we examine the financial and real effects of macroprudential policies with a new identifying strategy that exploits borrower-specific provisioning levels for each bank. Locally, we compare similar firms just below and above regulatory thresholds established in Colombia…

Abstract We examine the extent in which the ratios of book-to-market and earnings-to-price predict excess asset returns in an emerging market economy like Colombia. We want to find the magnitude in which these ratios help to forecast excess returns and if there is any evidence that…

Capital exchange marketBalance Other net income & expenditure Accruals, valuations & provisions Gross international reserves variation

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…

AbstractThe incomplete pass-through of exchange rates to prices is a well-documented phenomenon. Firms respond optimally to exchange rate shocks by adjusting margins and buying inputs from regions with more advantageous terms of trade. Consumers, in turn, substitute goods that become more expensive…

This study uses two different econometric frameworks to study exchange rate pass-through to import, producer and consumer prices in Colombia. Both frameworks are based on vector autoregressive (VAR) models, the first using an unrestricted VAR model, and the second using the Johansen framework of…

The paper develops a New Keynesian Small Open Economy Model characterized by external habit formation and Calvo price setting with dynamic inflation updating. The model is used to analyze the effect of nominal ex-change rate targeting on optimal policy and impulse responses. It is found that even…

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. However…

The study of the asymmetric behavior of macroeconomic variables over the business cycles phases has had a long tradition in economics. In this work we find evidence in favor of the hypothesis of having a STAR-type nonlinear asymmetric behavior of the economic activity, over the last two decades, in…

This paper identifies the main bank specific determinants of time to failure during the financial crisis in Colombia using duration analysis. Using partial likelihood estimation, it shows that the process of failure of financial institutions during that period was not a merely random process;…

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’…

AbstractThis paper studies the impact of extreme weather events on the local tax revenue across Colombian municipalities. We follow a two-step approach to evaluate to what extent a municipality’s tax revenue depends on natural disasters taking place both locally and in its trade partners…

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…