Teniendo en cuenta que la volatilidad de la tasa de cambio puede afectar en gran medida al sector real y financiero, se hace un estudio comparativo entre Colombia y once países seleccionados, algunos por su similitud con Colombia en algunos aspectos y otros porque sus monedas son una referencia...

Este trabajo evalúa los determinantes de las compras de divisas y su impacto sobre la tasa de cambio nominal en Colombia durante 2000-2008. Estimaciones Tobit muestran que el Banco Central compró divisas para compensar las reevaluaciones frente al día anterior y para corregir tendencias...

This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests of a forecasting equation which is derived from a consumption-based asset pricing model. In this model, the real exchange rate is predictable as a result of the implications of...

This paper analyzes a dynamic exchange rate policy game in which the central bank has private information about its short-term exchange rate target, on the one hand, and in which the market is faced with a certain degree of ambiguity concerning the actual intervention volume, on the other....

La crisis financiera internacional entre 2007 y 2009 causó grandes y a la vez bruscos movimientos de capitales entre economías avanzadas y emergentes, que fueron acompañados por cambios de similares características en los precios de los activos de éstas últimas, lo que se convirtió en un...

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan.We analyze both currency-hedged and unhedged bond returns.For currency-hedged bond returns, we find that five factors explain 96.5% of the variation of...

Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive...

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market...

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European...