The objective of this paper is to analyze how international cycles affect the real GDP cycle and so monetary policy decisions in Colombia. We estimate that cycles in world GDP, export prices and capital inflows are strongly associated with the Colombian business cycle both on impact and even...

This paper is concerned with interest rate setting by commercial banks and how the transmission of monetary policy is re°ected in these rates. For this purpose we study the case of the Colombian banking industry for the period 1996-2004. Using microdata, the Certi¯cate of Deposit(CD) market...

In this document we lay out the microeconomic foundations of a dynamic stochastic general equilibrium model designed to forecast and to advice monetary policy authorities in Colombia. The model is called Policy Analysis Tool Applied to Colombian Needs (PATACON). In companion documents we present...

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

This paper investigates the possible responses of an inflation-targeting monetary policy in the face of asset price deviations from fundamental values. Focusing on the housing sector of the Colombian economy, we consider a general equilibrium model with frictions in credit market and bubbles in...

The aim of this paper is to identify a set of early warning indicators that effectively discriminate between firms that are more prone to default on their financial obligations from those that are less prone to do so. To fulfill this objective, we use the Discriminant Analysis methodology. We...

In this paper we seek to assess the ability of banks to withstand the e?ects of an increase in credit risk as a result of changes in the macroeconomic environment. To do so we estimate a credit risk model for each loan type as a function of four macroeconomic variables commonly used in the...

Este artículo presenta un análisis cuantitativo del impacto de la política monetaria sobre las tasas de interés de los créditos hipotecarios, tanto en el largo como en el corto plazo. En primer lugar, los resultados de los ejercicios econométricos confirman la existencia de una relación...

La "sabiduría convencional" afirma que los temas de crecimiento económico se entienden con modelos clásicos, y los de corto plazo (ciclos, etc.) con los keynesianos (o neo-keynesianos). Y, en efecto, la rigidez de precios (de productos o factores) es una característica de la explicación...

En relación con los síntomas que probablemente tendrá la actividad económica en el futuro, un aumento en el spread de tasas de interés reduce la probabilidad de tener momentos dificiles mas adelante. Este resultado se cumple para un período 12 y 24 meses adelante y se ajusta al modelo...