Similar Search Results

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 six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients,...

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

Una metodología multivariada de desagregación temporal

Guarín, Jorge Luis Hurtado; Velandia, Luis Fernando Melo - Banco de la Republica de Colombia

En este artículo se propone una extensión de la metodología multivariada de desagregación temporal de Di Fonzo [1990]. Esta supone que los errores de las series de alta frecuencia siguen un modelo VAR(1) en lugar de un proceso ruido blanco. Adicionalmente, se realiza una reseña de...

Persistent link: https://www.econbiz.de/10008629472

Efecto de los cambios en el gasto y en los ingresos del gobierno sobre el PIB: Una caracterización empírica para Colombia

Robledo, Jacobo Campo - Banco de la Republica de Colombia

Este documento caracteriza los efectos dinámicos de los choques en el gasto y los ingresos del gobierno sobre la actividad económica en Colombia, durante el periodo 1980:1 - 2004:1. Esto mediante un VAR estructural mixto. El SVAR se estima utilizando el procedimiento de Blanchard y Perotti...

Persistent link: https://www.econbiz.de/10005274358

Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods

Rincón, Hernán; Caicedo, Edgar; Rodríguez, Norberto - Banco de la Republica de Colombia

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...

Persistent link: https://www.econbiz.de/10005113915

IDENTIFYING FISCAL POLICY SHOCKS IN CHILE AND COLOMBIA

Restrepo, Jorge E.; Rincón, Hernán - Banco de la Republica de Colombia

Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a pesofor- peso ($/$) effect on output of a shock to public spending and to...

Persistent link: https://www.econbiz.de/10005113931

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

Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries?

Mora, Humberto; Rincón, Hernán - Banco de la Republica de Colombia

power in the loans and deposits markets are positively correlated with capital controls. The findings also indicate that, in …

Persistent link: https://www.econbiz.de/10005113959

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 … shocks on capital debt flows can affect credit-related variables. The model predicts that a foreign credit crunch will affect … aggregate credit and will reduce the proportion of firms with access to intermediated funds. A VEC model is estimated to …

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

The Time-Varying Long-Run Unemployment Rate: The Colombian Case

Arango, Luis Eduardo; Posada, Carlos Esteban - Banco de la Republica de Colombia

-wage labor costs and the rate of capital accumulation. Given the statistical properties of the variables, a cointegration …

Persistent link: https://www.econbiz.de/10005489398

Testing the Short-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia

Rincón, Hernán - Banco de la Republica de Colombia

estimation of multivariate cointegration systems. The main result is that exchange rates do play a role in determining the short …

Persistent link: https://www.econbiz.de/10005113962