This paper provides evidence of long run purchasing power parity by performing a recently developed method to test for unit roots in the presence of structural breaks. Data consist of real exchange rate series for 20 countries including developed and developing economies. Structural breaks are...

El efecto Balassa-Samuelson (B-S) establece que aumentos en la productividad de los sectores transables deberían llevar a un incremento del nivel de precios de los no transables y, por tanto, a una apreciación real de la tasa de cambio. En este trabajo se evalúa la ocurrencia del efecto B-S...

Este documento evalúa el grado de transmisión de corto y largo plazo sobre la inflación de los bienes importados de un choque a la depreciación del peso colombiano cuando se controla por el ciclo económico. Encontramos que la transmisión es mayor cuando la perturbación ocurre en un...

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...

En este documento estimamos el grado de transmisión de corto y largo plazo sobre la inflación de los bienes importados de un choque a la tasa de devaluación nominal en presencia de asimetrías. Utilizamos una ecuación estándar de pass-through para modelos con competencia imperfecta, datos...

En este documento se hace una evaluación tanto de las fortalezas de la economía colombiana que contribuirían a la sostenibilidad actual del crecimiento, como de los factores de riesgo y vulnerabilidades que podrían afectarlo negativamente. Con este propósito se compara el desempeño...

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...

The most recent financial crisis unveiled that liquidity risk is far more important and intricate than regulation have conceived. The shift from bank-based to market-based financial systems and from Deferred Net Systems to liquidity-demanding Real-Time Gross Settlement of payments explains some...

Three methodologies of estimation of models with many predictors are implemented to forecast Colombian inflation. Two factor models, based on principal components, and partial least squares, as well as a Bayesian regression, known as Ridge regression are estimated. The methodologies are compared...

We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of a better and consistent...