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...

En este trabajo se analizan algunos aspectos de la regulación relacionada con el manejo del riesgo de mercado establecida por la Superintendencia Financiera de Colombia, donde se propone el valor en riesgo (VaR) como la medida para cuantificar este tipo de riesgo. No obstante, esta regulación...

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correlation matrices by extracting the dominant...

The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the ?financial sector. Paradoxically, up until the ?financial world crisis of 2007-2009, little attention was given to macroeconomic and ?financial interdependence. And, in spite of a...

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 relying on financial institutions’ reported data....

Asset prices have recently become a common topic in economic debate. Nevertheless, much time has been spent in determining if they effectively exhibit a bubble component, and not in examining whether asset prices affectively contain relevant information concerning future market developments....

El presente trabajo ilustra cómo los altos niveles de deuda pública, a través de los riesgos de mercado, pueden convertirse en una restricción para la ejecución de la política monetaria. Dependiendo de donde se financie el sector público, un nivel grande de deuda pública se refleja en...

The Colombian economy experienced several shocks in the past ten years. The permanent fall of inflation, the adoption of inflation targeting (IT) and a financial crisis altered the transmission mechanism of monetary policy. Low inflation and IT reduced inflation persistence and contributed to...

This paper analyses the role of a costly financial system in the transmission of monetarypolicy. The new-keynesian model for a small open economy is extended with asimple financial system based in Hamann and Oviedo (2006). The presence of the financialintermediation naturally allows the...

En este trabajo se utiliza un modelo FAVAR (factor-augmented vector autoregression) con el fin de examinar el papel que las condiciones financieras de los bancos, reflejadas en información recopilada a nivel individual, tienen en la transmisión de la política monetaria. El tipo de modelo...