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Bejarano-Bejarano, Luis V.; Gomez-Gonzalez, Jose E.; … - BANCO DE LA REPÚBLICA - 2015

This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin … contagion. The first corresponds to the time of the mortgage subprime crisis in the US, while the second corresponds to the …

Persistent link: https://www.econbiz.de/10011276544

Exchange Rates Contagion in Latin America

Maya, Rubén Albeiro Loaiza; Gómez-González, José Eduardo - BANCO DE LA REPÚBLICA - 2014

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest … Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the … Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods …

Persistent link: https://www.econbiz.de/10010946005

Un Modelo de Alerta Temprana para el Sistema Financiero Colombiano

González, José Eduardo Gómez; Orozco, Inés Paola - BANCO DE LA REPÚBLICA - 2009

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

Lecciones de las crisis financieras recientes para el diseño e implementación de las políticas monetaria y financiera en Colombia

Perdomo, Juan Pablo Zárate; Cobo, Adolfo León; … - BANCO DE LA REPÚBLICA - 2012

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

The Interdependence between Credit and Real Business Cycles in Latin American Economies

Gómez, José Eduardo; Joya, Jair Ojeda; Galarza, … - BANCO DE LA REPÚBLICA - 2013

In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cycles are usually more volatile than...

Persistent link: https://www.econbiz.de/10010763665

Transmisión de tasas de interés bajo el esquema de metas de inflación: evidencia para Colombia

Becerra, Oscar; Melo, Luis Fernando - BANCO DE LA REPÚBLICA - 2008

Este documento busca describir la dinámica de la transmisión de las medidasde política monetaria implementadas por el Banco de la República hacia lasdemás tasas de interés, con el fin de identificar la efectividad y el rezago quetienen las medidas de política monetaria. A partir de un...

Persistent link: https://www.econbiz.de/10005597714

CARACTERIZACIÓN DEL MERCADO ACCIONARIO COLOMBIANO, 2001-2006: UN ANÁLISIS COMPARATIVO

Gil, Jorge Marío Uribe - BANCO DE LA REPÚBLICA - 2007

Persistent link: https://www.econbiz.de/10005597629

Financial crises, debt volatility and optimal taxes

Parra-Polania, Julian A.; Vargas, Carmiña O. - BANCO DE LA REPÚBLICA - 2014

We study financial crises in a small open production economy subject to credit constraint and uncertainty on the value of debt repayments. We find that the possibility of reducing the severity of future crises encourages the central planner (CP) to increase both the crisis frequency and current...

Persistent link: https://www.econbiz.de/10010960248

Macroprudential vs. Ex-post Policy Interventions: when Domestic Taxes are Relevant for International Lenders

Parra-Polania, Julian A.; Vargas, Carmiña O. - BANCO DE LA REPÚBLICA - 2015

We argue that international lenders take into account that taxes (or subsidies) affect borrowers’ available income for debt repayments. Using an endowment-economy model, we show that by incorporating this fact into the analysis of ?financial crises from the pecuniary externality perspective,...

Persistent link: https://www.econbiz.de/10011252712

Identifying central bank liquidity super-spreaders in interbank funds networks

León, Carlos; Machado, Clara; Sarmiento, Miguel - BANCO DE LA REPÚBLICA - 2014

contagion models based on homogeneous and non-hierarchical networks, and provide further evidence about financial networks’ self … considered as the most important conduits for monetary policy transmission, and the main drivers of contagion risk within the …

Persistent link: https://www.econbiz.de/10010765765