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Credit Pro-cyclicality and Bank Balance Sheet in Colombia

Salcedo, Franz Alonso Hamann; Hernández, Rafael; … - BANCO DE LA REPÚBLICA - 2013

The recent financial crisis has renewed the interest of economists, both at the theoretical and empirical level, in developing a better understanding of credit and its mechanisms. A rapidly growing strand of the literature views banks as facing funding restrictions that condition their borrowing...

Persistent link: https://www.econbiz.de/10010828174

Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data

León, Carlos; Cely, Jorge; Cadena, Carlos - BANCO DE LA REPÚBLICA - 2015

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 … rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans we also build …

Persistent link: https://www.econbiz.de/10011261879

Identifying central bank liquidity super-spreaders in interbank funds networks

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

Evidence suggests that the Colombian interbank funds market is an inhomogeneous and hierarchical network in which a few … with evidence from other interbank markets and other financial networks regarding the flaws of traditional direct financial … characterizing the actual connective structure of interbank funds networks; (ii) identifying those financial institutions that may be …

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

The Effect of Adult Criminals´ Spillovers On the Likelihood of Youths Becoming Criminals

Medina, Carlos; Tamayo, Jorge Andrés; Posso, Christian - BANCO DE LA REPÚBLICA - 2013

We use a unique data set at the individual level to estimate an empirical model explaining the probability of young individuals to become criminals as a function of the presence of adult criminals in their neighborhoods, an a complete set of control variables, including census sector fixed...

Persistent link: https://www.econbiz.de/10010828176

Peers Effects on a Fertility Decision: an Application for Medellín Colombia

Morales, Leonardo - BANCO DE LA REPÚBLICA - 2013

This paper addresses the estimation of peer group effects on a fertility decision. The peer group is composed of neighbors with similar socio-demographic characteristics. In order to deal with the endogeneity problem associated to the estimation of neighborhood effects, an instrumental variables...

Persistent link: https://www.econbiz.de/10010763639

Spatial Dependence and Economic Growth: Evidence From a Panel of Countries

Ramírez, María Teresa; Loboguerrero, Ana María - BANCO DE LA REPÚBLICA - 2002

The empirical literature about economic growth has usually ignored spatial interdependence among countries. This paper uses spatial econometrics to estimate a growth model that includes cross-country interdependence, in which a country’s economic growth depends on the growth rate of its...

Persistent link: https://www.econbiz.de/10005262759

Assessing the Link between Adolescent Fertility and Urban Crime

Gaviria, Alejandro; Medina, Carlos; Tamayo, Jorge - BANCO DE LA REPÚBLICA - 2010

We use data of neighborhoods of Bogotá to assess the causal relation between their adolescent fertility and their homicide rates. We find that neighborhoods with high adolescent fertility rates, and that have low secondary enrollment and high crime rates at the moment the children of their teen...

Persistent link: https://www.econbiz.de/10008503166

Validez del Supuesto de Neutralidad del Horizonte de Tiempo en el CAPM y la Metodología del Rango Reescalado: Aplicación a Colombia

Rodríguez, Karen Juliet Leiton - BANCO DE LA REPÚBLICA - 2011

La existencia de memoria de largo plazo en las series financieras implica que los retornos de un activo hoy pueden tener incidencia sobre los retornos futuros, incluso más allá del corto plazo. En presencia de dicha memoria el horizonte de inversión elegido puede resultar en diferentes...

Persistent link: https://www.econbiz.de/10009325836

Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito

Gutiérrez, José Fernando Moreno; Velandia, Luis … - BANCO DE LA REPÚBLICA - 2011

Este documento describe la metodología desarrollada por Vapnik (1995), denominada máquinas de vectores de soporte (SVM, por sus siglas en inglés) y realiza dos aplicaciones al caso de clasificación de agentes para el otorgamiento de créditos a partir de sus características. El primer caso...

Persistent link: https://www.econbiz.de/10009351486

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Reveiz, Alejandro; León, Carlos Eduardo - BANCO DE LA REPÚBLICA - 2008

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...

Persistent link: https://www.econbiz.de/10005768099

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