We estimate credit and GDP cycles for three Latin American economies and study their relation in the frequency domain. We compute coherence statistics between credit and GDP cycles and find that the highest correlations between these two cycles are obtained in medium-term frequencies. Spectral...

This paper studies the determinants of individual bank failures and M&A processes in Colombia during the financial crisis of the late 1990s. Using bank-specific data we estimate competing risk hazards models and find that while profitability and capitalization are the most important determinants...

We estimate non-parametrical one-factor and three-factor international Capital Asset Pricing Models (CAPM) and find strong evidence for rejecting the linear CAPM specification. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting...

We study the determinants of multiple bank-firm relationships using a uniquely rich data set comprised of information on individual loans of a large number of firms in Colombia. We control for firm-specific variables and find that the business cycle exerts important influence on the number of...

This paper presents a methodology for estimating time-homogeneous credit quality transition matrices. Using a unique data set on credit ratings of commercial loans in Colombia, we show that 70% of the time we cannot reject the null hypothesis of time homogeneity of transition matrices estimated...