Similar Search Results

A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt

Arango, Luis Eduardo; Betancourth, Yanneth R. - Banco de la Republica de Colombia

In this paper we check the relationschip 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/10005650610

Construcción de un "Ïndice de Percepción de Riesgo" de los Mercados Financieros Globales

Velandia, Luis Fernando Melo; ramírez, Juan Mauricio; … - Banco de la Republica de Colombia

En este documento se construye un Indice de Percepción de Riesgo de los inversionistas institucionales en los mercados industrializados. Este índice se estima con base en un modelo de análisis factorial dinámico, que explora las tendencias comunes de las volatilidades de los retornos de una...

Persistent link: https://www.econbiz.de/10005113974

Metodología de perfiles coincidentes para determinar indicadores líderes y contemporáneos, estudio de caso

Martínez, Wilmer - Banco de la Republica de Colombia - 2013

En este documento se propone utilizar la metodología de perfiles coincidentes propuesta por Martínez (2010), con el fin de determinar si un conjunto de indicadores obtenidos de encuestas de opinión y otras fuentes son coincidentes o líderes de los indicadores económicos observables y, que...

Persistent link: https://www.econbiz.de/10010862631

Combinación de brechas del producto colombiano.

Beltrán, Paulo Mauricio Sánchez; Velandia, Luis … - Banco de la Republica de Colombia - 2013

Este documento combina estimaciones de ocho metodologías de la brecha del producto colombiano para el período comprendido entre el primer trimestre de 1994 y el tercer trimestre de 2012. A partir de modelos VAR que incluyen las diferentes brechas y la inflación se construyen las densidades...

Persistent link: https://www.econbiz.de/10010906061

Extracting the sovereigns’ CDS market hierarchy: a correlation-filtering approach

Rincón, Carlos Eduardo León; Leiton, Karen Julieth; … - Banco de la Republica de Colombia - 2013

sovereigns are the most influential, but also the most prone to contagion; and (v) suggest the existence of a “Latin American …

Persistent link: https://www.econbiz.de/10010906065

Forecasting Latin-American yield curves: An artificial neural network approach

Vela, Daniel - Banco de la Republica de Colombia - 2013

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...

Persistent link: https://www.econbiz.de/10010906071

The Interdependence between Credit and Real Business Cycles in Latin American Economies

José Eduardo Gómez G.; Joya, Jair Ojeda; Galarza, … - Banco de la Republica de Colombia - 2013

In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cycles are usually more volatile than...

Persistent link: https://www.econbiz.de/10010906079

El mercado mundial del café y su impacto en Colombia

Sanz, Carlos Gustavo Cano; Mejía, César Vallejo; … - Banco de la Republica de Colombia - 2012

La pérdida de importancia económica de la caficultura en Colombia, tanto en el contexto nacional como en el internacional, se explica, principalmente, por la caída dramática de su productividad; el consiguiente empobrecimiento de los caficultores, así como por el envejecimiento de estos y de...

Persistent link: https://www.econbiz.de/10010906082

Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach

Maya, Rubén Albeiro Loaiza; Gómez-González, José Eduardo - Banco de la Republica de Colombia - 2012

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of … measure contagion in terms of tail dependence coefficients, following Fratzscher’s (1999) definition of contagion as … dependence and significant lower tail dependence. These results imply that there exists contagion in Latin American exchange …

Persistent link: https://www.econbiz.de/10010906084

Foreign Debt Flows and Domestic Credit: A Principal-Agent Approach

Gómez, Esteban; Pabón, Andrés Murcia; Gómez, Nancy … - Banco de la Republica de Colombia

The relationship between capital flows and domestic credit emerges from different channels which are usually not directly identified. In this paper, a principal-agent approach is proposed in order to disentangle the channels through which shocks on capital debt flows can affect credit-related...

Persistent link: https://www.econbiz.de/10010906096