Abstract: Financial integration has been pursued aggressively across the globe in the last ?fty years; however, there is no conclusive evidence on the diversi?cation gains (or losses) of such e?orts. These gains (or losses) are related to the degree of comovements and synchronization among...

Abstract: Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among...

This paper analyzes the measure of systemic importance ΔCoVaR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. Inaddition, we develop a series of testing procedures, based on ΔCoVaR, toidentify and...

This report describes the survey that was carried out in 122 communities in rural Colombia bythe consortium formed by the Institute for Fiscal Studies, Econometria and SEI as the baselinefor the impact evaluation of Familias en Acción, a programme to foster the accumulation of human capital in...

This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...

This report describes the survey that was carried out in 122 communities in rural Colombia bythe consortium formed by the Institute for Fiscal Studies, Econometria and SEI as the baselinefor the impact evaluation of Familias en Acción, a programme to foster the accumulation of human capital in...

This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...

We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate...

We provide a common framework that relates traditional event study estimation methods in finance with a modern approach for causal event studies. This framework is called synthetic portfolio and is a particular case of synthetic control methods. We provide a simulation exercise and an empirical...

Spanish Abstract: En 2014 el Ministerio de Educación Nacional de Colombia lanzó el programa Ser Pilo Paga como parte del objetivo de convertir el país en el más educado de América Latina en el 2025. Desde su creación, el programa ha beneficiado a más de 30,000 jóvenes de escasos recursos...