Showing 1 - 10 of 59
In this paper, we study the empirical relationship between credit funding sources and the financial vulnerability of the Colombian banking system. We propose a statistical model to measure and predict banking-fragility episodes associated with credit funding sources classified into retail...
Persistent link: https://www.econbiz.de/10010765009
En este trabajo se presenta un modelo estadístico de alerta temprana, que utiliza modelos de duración para evaluar el estado corriente y pronosticar el estado futuro de la salud financiera de los bancos en Colombia. En el artículo se discuten las ventajas que tiene utilizar modelos de...
Persistent link: https://www.econbiz.de/10005042521
En este trabajo realizamos pruebas de detección y migración de burbujas en los precios de vivienda, divisas y acciones para un conjunto de siete países. Este conjunto de países incluye desarrollados y emergentes que se caracterizan por tener buena información histórica de precios de...
Persistent link: https://www.econbiz.de/10010828168
El presente trabajo da cuenta de las principales lecciones que se han recogido en materia de política monetaria y financiera sobre la crisis actual, y traza un paralelo con la crisis colombiana de los noventa (guardadas las proporciones) y con las acciones que de ella se derivaron. Además...
Persistent link: https://www.econbiz.de/10010763635
La crisis financiera de 2008 evidenció tanto las fragilidades del sistema financiero internacional como las consecuencias de la globalización financiera y comercial. Así, lo que comenzó como un problema de incumplimiento de pagos en el mercado inmobiliario estadounidense se tradujo en la...
Persistent link: https://www.econbiz.de/10010763681
We study the network of Colombian sovereign securities settlements. With data from the settlement market infrastructure we study financial institutions’ transactions from three different trading and registering individual networks that we combine into a multi-layer network. Examining this...
Persistent link: https://www.econbiz.de/10010889038
This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period comprised between July 4th, 2001 and...
Persistent link: https://www.econbiz.de/10011276544
To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of...
Persistent link: https://www.econbiz.de/10010763689
This paper estimates transition matrices for the ratings on …nancial insti-tutions, using an unusually informative data set. We show that the processof rating migration exhibits signi…cant non-Markovian behavior, in the sensethat the transition intensities are a¤ected by macroeconomic and...
Persistent link: https://www.econbiz.de/10005466419
In this paper we find empirical evidence of bank lending channel for Colombia, using a balanced panel data of about four thousand non-financial firms. We find that increases in the interest rate, proxiing for the monetary policy instrument, lead to a reduction in the proportion of bank loans,...
Persistent link: https://www.econbiz.de/10005466432