Showing 1 - 10 of 54
Asset prices have recently become a common topic in economic debate. Nevertheless, much time has been spent in determining if they effectively exhibit a bubble component, and not in examining whether asset prices affectively contain relevant information concerning future market developments....
Persistent link: https://www.econbiz.de/10005650563
In order to asses the credibility of their targets and policies, inflation targeting central banks always keep an eye on market expectations of the future inflation rates and short maturity interest rates. In economies with developed financial markets the prices of financial assets are a prime...
Persistent link: https://www.econbiz.de/10005274357
This study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estimating transition matrices conditioning on...
Persistent link: https://www.econbiz.de/10005274363
Colombia experienced a deep recession in 1999-2003. Growth slowed by 4.2%, and investment by 34.6%. Was the severity of the recession due to a financial accelerator mechanism á la Bernanke, Gertler, and Gilchrist (1999)? To answer this question, this paper estimates a dynamic stochastic general...
Persistent link: https://www.econbiz.de/10005274372
This paper estimates transition matrices for the ratings on financial insti-tutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intensities are affected by macroeconomic and...
Persistent link: https://www.econbiz.de/10005274416
The Colombian economy experienced several shocks in the past ten years. The permanent fall of inflation, the adoption of inflation targeting (IT) and a financial crisis altered the transmission mechanism of monetary policy. Low inflation and IT reduced inflation persistence and contributed to...
Persistent link: https://www.econbiz.de/10005274443
This paper analyses the role of a costly financial system in the transmission of monetary policy. The new-keynesian model for a small open economy is extended with a simple financial system based in Hamann and Oviedo (2006). The presence of the financial intermediation naturally allows the...
Persistent link: https://www.econbiz.de/10005274454
Using Bayesian estimation techniques, we estimate a small open economy DSGE model with credit-market imperfections for the Colombian economy. Using the estimated model we investigate what are the sources of business cycle fluctuations. We show that balance-sheet effects play an important role in...
Persistent link: https://www.econbiz.de/10005274457
Este documento busca describir la dinámica de la transmisión de las medidas de política monetaria implementadas por el Banco de la República hacia las demás tasas de interés, con el fin de identificar la efectividad y el rezago que tienen las medidas de política monetaria. A partir de un...
Persistent link: https://www.econbiz.de/10005274497
Partiendo de la base teórica de que existe una relación positiva entre el desarrollo del mercado de capitales y el crecimiento económico, se construyen indicadores de tamaño, liquidez, riesgo, integración y eficiencia, para el mercado accionario colombiano. Para esto, se usan medidas...
Persistent link: https://www.econbiz.de/10005274542