This paper evaluates the effects of financial globalization on growth and macroeconomic volatility, from 1984 to 2003, for a sample of 43 countries. Particular attention is given to those effects on the member countries of the Latin American Reserve Fund (FLAR): Bolivia, Colombia, Costa Rica,...

La evidencia empírica para Colombia muestra relaciones tanto positivas como negativas entre el crecimiento del producto y empleo, a diferencia de lo encontrado en economías desarrolladas como la de los Estados Unidos. El presente trabajo usa modelos VAR y de Equilibrio General Dinámico y...

This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary concepts of payment occurs. Using the Bank of...

En este artículo se propone un método numérico para la calibración de un modelode equilibrio general dinámico y estocástico (DSGE). Esencialmente, éste consisteen utilizar un algoritmo híbrido de optimización, primero para encontrar un estadoestacionario del modelo, y luego para...

Defining whether a financial institution is systemically important (or not) is challenging due to (i) the inevitability of combining complex importance criteria such as institutions´ size, connectedness and substitutability; (ii) the ambiguity of what an appropriate threshold for those criteria...

Este documento estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los...

Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches. Engineering has faced the same challenges when designing practical solutions...

This document presents an enhanced and condensed version of preceding proposals for identifying systemically important financial institutions in Colombia. Three systemic importance metrics are implemented: (i) money market net exposures network hub centrality; (ii) large-value payment system...

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...

The most recent episode of market turmoil exposed the limitations resulting from the traditional focus on too-big-to-fail institutions within an increasingly systemic-crisis-prone financial system, and encouraged the appearance of the too-connected-to-fail (TCTF) concept. The TCTF concept...