The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the ?financial sector. Paradoxically, up until the ?financial world crisis of 2007-2009, little attention was given to macroeconomic and ?financial interdependence. And, in spite of a...

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...

Classic financial theory relies on the absolute perfection of capital markets, which results in one of the milestones of theoretical corporate finance: the firm´s value is invariant to the choice of capital structure. As an extension to the aforementioned proposition by Modigliani and Miller...

In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mean and “volatility smile” return...

In this paper we explore the price setting behavior of Colombian producers and importersusing a unique database containing the monthly price reports underlying the ColombianPPI from Jun-1999 to Oct-2006. We focus on five particular questions: 1. Are pricessticky or flexible? 2. Is a price...

En este artículo se estudia la habilidad de las reglas de precios dependientes del tiempo y del estado para explicar la probabilidad de que las firmas Colombianas cambien los precios. Para este propósito, se utilizan los precios recolectados por el Banco de la República en el cálculo del...

Typically, central banks use a variety of individual models (or a combination of models) when forecasting inflation rates. Most of these require excessive amounts of data, time, and computational power; all of which are scarce when monetary authorities meet to decide over policy interventions....

In this paper we survey prominent theories that have shaped the literature on sterilized foreign exchange interventions. We identify three main strands of literature: 1) that which advocates the use of sterilized interventions; 2) that which deems sterilized interventions futile; and 3) that...

In the context of financial crises influenced by the development and burst of housing price bubbles, the detection of exuberant behaviors in the financial market and the implementation of early warning diagnosis tests are of vital importance. This paper applies the new method developed by...

En este trabajo se estudian las interrelaciones existentes entre flujos de capital y estabilidad financiera en Colombia en el período comprendido entre 1995 y 2011 con datos trimestrales. Utilizando modelos VAR cointegrados en niveles, se encuentra que si bien no parece haber una relación...