Las redes neuronales artificiales han mostrado ser modelos robustos para dar cuenta del comportamiento de diferentes variables. En el presente trabajo se emplean para modelar la relación no lineal del crecimiento del PIB. Tres modelos son considerados: dos autoregresivos (especificación lineal...

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...

This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson & Siegel and Svensson. Several forecasting methodologies are contrasted: an autoregressive model, a vector...

En este trabajo se estiman modelos de corto plazo para pronosticar la inflación de bienes transables y no transables en Colombia. Estos modelos no existían en el Banco Central antes de 2004 y son de gran utilidad para la toma de decisiones de política monetaria. También se evalúan los...

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...

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...

A pesar de que el encaje bancario era un instrumento de política monetaria que venía cayendo en desuso, recientemente, varios países lo han empleado con aparente éxito en el marco de una política monetaria contracíclica y macroprudencial. Surge entonces la pregunta de si dicho éxito se...

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...

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions´ systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a...