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Exchange Rates Contagion in Latin America

Maya, Rubén Albeiro Loaiza; Gómez-González, José Eduardo - BANCO DE LA REPÚBLICA - 2014

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, there are interesting differences in contagion during periods …

Persistent link: https://www.econbiz.de/10010946005

Financial Contagion in Latin America

Bejarano-Bejarano, Luis V.; Gomez-Gonzalez, Jose E.; … - BANCO DE LA REPÚBLICA - 2015

This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin … contagion. The first corresponds to the time of the mortgage subprime crisis in the US, while the second corresponds to the …

Persistent link: https://www.econbiz.de/10011276544

Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures

León, Carlos; Berndsen, Ron J.; Renneboog, Luc - BANCO DE LA REPÚBLICA - 2014

the improper functioning of FMIs or by FMIs acting as conduits for contagion. …

Persistent link: https://www.econbiz.de/10010946009

Identifying central bank liquidity super-spreaders in interbank funds networks

León, Carlos; Machado, Clara; Sarmiento, Miguel - BANCO DE LA REPÚBLICA - 2014

contagion models based on homogeneous and non-hierarchical networks, and provide further evidence about financial networks’ self … considered as the most important conduits for monetary policy transmission, and the main drivers of contagion risk within the …

Persistent link: https://www.econbiz.de/10010765765

MEDIDAS DE RIESGO FINANCIERO USANDO CÓPULAS: TEORÍA Y APLICACIONES

Becerra, Oscar; Melo, Luis Fernando - BANCO DE LA REPÚBLICA - 2008

Este documento realiza una descripción de las medidas de dependencia consus principales ventajas y desventajas y presenta a la cópula como una estructura flexibleque permite caracterizar diferentes tipos de dependencia. Adicionalmente, introduce eluso de la cópula en la medici´on de riesgo...

Persistent link: https://www.econbiz.de/10005262736

A SIGNAL OF IMPERFECT PORTFOLIO CAPITAL ADJUSTMENTS FROM THE RELATIONSCHIP BETWEEN YIELDS OF DOMESTIC AND FOREIGN COLOMBIAN DEBT

Arango, Luis Eduardo; Betancourt, Yanneth R. - BANCO DE LA REPÚBLICA - 2002

In this paper we check the relationship between the yields of the Colombian bonds traded in the (secondary) internal market and the yields of the sovereign global securities for the sample period 1999-2001. The hypothesis we maintain is that, under the assumption of capital mobility, it should...

Persistent link: https://www.econbiz.de/10005262747

La tasa natural de desempleo en Colombia y sus determinantes

Tamayo, Jorge Anfdrés - BANCO DE LA REPÚBLICA - 2008

En este trabajo se estima una tasa natural de desempleo para Colombia en el período 1984-2006.Siguiendo el modelo de negociación de salarios de Blanchard (1991), se emplea un filtro de Kalman,para estimar un sistema de ecuaciones para la tasa natural de desempleo, el desajuste del...

Persistent link: https://www.econbiz.de/10005262760

La Tasa de Interés Natural en Colombia

Echavarría, Juan José; Enciso, Enrique López; … - BANCO DE LA REPÚBLICA - 2006

En este artículo se estima para Colombia la tasa de interés natural (TIN) para el período 1982-2005, con base en las metodologías propuestas por Laubach y Williams (2001) y Mésonnier y Renne (2004). Un modelo neokeynesiano es la base de la estimación de la TIN de mediano plazo" como una...

Persistent link: https://www.econbiz.de/10005262763

IDENTIFYING FISCAL POLICY SHOCKS IN CHILE AND COLOMBIA

Restrepo, Jorge E.; Rincón, Hernán - BANCO DE LA REPÚBLICA - 2006

Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a pesofor- peso ($/$) effect on output of a shock to public spending and to...

Persistent link: https://www.econbiz.de/10005262765

An Introductory Review of a Structural VAR-X Estimation and Applications

Ocampo, Sergio; Rodríguez, Norberto - BANCO DE LA REPÚBLICA - 2011

This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by bayesian and maximum likelihood methods is presented. Applications of the structural VAR-X for impulse response functions to structural shocks,...

Persistent link: https://www.econbiz.de/10009404507