Este trabajo tiene como objetivo estimar las elasticidades de demanda de empleo moderno total y no calificado, haciendo énfasis en las asimetrías presentes en las distintas fases del ciclo económico colombiano. Para tal fin, se estiman modelos MS-VAR(p) siguiendo la metodología propuesta por...

Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

En este documento se utiliza la información proveniente de las encuestas de expectativas económicas a los empresarios para comprobar si el efecto de la política monetaria difiere entre empresas grandes y pequeñas. La metodología econométrica se basa en los modelos de vectores...

En este documento se utiliza la información proveniente de las encuestas de expectativas económicas a los empresarios para comprobar si el efecto de la política monetaria difiere entre empresas grandes y pequeñas. La metodología econométrica se basa en los modelos de vectores...

Las reformas estructurales de principios de los años noventa, tuvieron un "impacto" macroeconómico relevante: el producto colombiano es más volátil que en períodos anteriores y parece exhibir un ciclo económico más corto y pronunciado. En este trabajo se documenta este hecho estilizado a...

Numerous papers have tried to understand housing's role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that the relation between building permits and GDP is regime-dependent....

This paper investigates whether credit constraints in the US economy amplify the international propagation of US financial shocks. We model the dynamics of the US economy jointly with global macroeconomic and financial variables using a threshold vector autoregression. This model captures...

Macroeconomic forecasting in recessions is not easy due to the inherent asymmetry of business cycle phases and the increased uncertainty about the future path of the teetering economy. I propose a mixed-frequency threshold vector autoregressive model with common stochastic volatility in mean...

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...