Documento de trabajo

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…

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…

We present a stochastic frontier model with random inefficiency parameters which is able to capture the influence of risk-taking on bank efficiency and that distingues those effects among banks with different characteristics. Cost and profit efficiency are found to be over- and underestimated…

We use experimental data of a training program in 2005 in Colombia. We find that even up to ten years ahead, the JeA program had a positive and significant effect on the probability to work in the formal sector, and to work for a large firm. Applicants in the treatment group also contributed…

The paper presents a global model for analysis and projections. The model features a handful of elements that make it suitable for analyzing three broad sets of topics; first, systemic risk and its transmission to country risk premiums; second, the transmission from country risk premiums to…

This paper has as main objective to build a composite metric of financial soundness for the private corporate sector in Colombia. Instead of relying on the individual and sometimes restrictive financial ratio analysis approach, the purpose of this document is to provide a single metric aimed at…

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…

Inglés: In spite of the increasing evidence that has revealed that early access to financial services has long-term impacts, children and adolescents continue to face major obstacles to be financially included, particularly in the developing world. This document presents the main results of a…

Inglés: We propose a maximal covering location problem with a budget constraint to determine the optimal location of facilities that provide fast police assistance to homicide hot spots, to mitigate criminal activity in Medellín (Colombia). We use the Google Maps Application Programming…

This work uses readily accessible data about the stocks of unemployed workers, labor force and duration of unemployment to measure the job finding and separation rates for Colombia from 1984 to 2014. It also evaluates the relative contribution of these rates to the fluctuations of unemployment…

Determinants of consumer credit are estimated by using information from a Credit Union located in Medellín-Colombia. To the best of our knowledge, this is the first investigation using this kind of data in Colombia. We find that life cycle-permanent income hypothesis (LC-PIH) related variables…

We study the interdependence between real commodity prices and world real GDP using long-term annual data since 1870, by performing two empirical exercises. First, we compute long-term and medium-term cycles and measure their degree of synchronization for different leads and lags. Second, we…