This paper examines the spillover effects of bankruptcy by important tech industry banks-Silicon Valley Bank (SVB), Silvergate Bank, and Signature Bank-on the top 10 institutions in the MSCI Bank Index and the role that monetary policy by the US Federal Reserve (the Fed) played in this...

Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures,...

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

Foreign portfolio flows constitute a key component of economic activity in small open economies such as Colombia. The dynamics of these flows are subject to the influence of both external (push) factors and domestic (pull) factors. Consequently, economic crises and episodes of financial distress...

Foreign portfolio flows constitute a key component of economic activity in small open economies such as Colombia. The dynamics of these flows are subject to the influence of both external (push) factors and domestic (pull) factors. Consequently, economic crises and episodes of financial distress...

We employ a structural VAR model with global and US variables to study the relevance and transmission of oil, food commodities, and industrial input price shocks. We show that commodities are not all alike. Industrial input price changes are almost entirely endogenous responses to other shocks....

Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks' positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks' positions in connection...

We employ a structural VAR model with global and US variables to study the relevance and transmission of oil, food commodities, and industrial input price shocks. We show that commodities are not all alike. Industrial input price changes are almost entirely endogenous responses to other shocks....