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Banking Limits on Foreign Holdings: Disentangling the Portfolio Balance Channel

In this paper we analyze the effects of financial constraints on the exchange rate through the portfolio balance channel. Our contribution is twofold: First, we construct a tractable two-period general equilibrium model in which financial constraints inhibit capital flows. Hence, departures from...

Colombian Bank Efficiency and the Role of Market Structure

Colombia’s financial system has undertaken major changes during the last decade, with new regulatory regimes being implemented, as well as a significant expansion of financial services. Nevertheless, the recent literature has yet to analyze this new epoch for banking institutions under an...

Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach

 

Firm Productivity and Cities: The Case of Colombia

 

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

 

Foreign Exchange Intervention Revisited: A New Way of Estimating Censored Models

Most of the literature on the effectiveness of foreign exchange intervention has yet to reach a general consensus. In part, this is due to the different estimation methods in which exogenous variation is identified. In this sense, the use of heavily-dependent parametric models can sometimes...

Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence

 

Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange

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...

On Forecast Evaluation

We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast accuracy should be assessed through...

Portfolio Optimization and Long-Term Dependence

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term’s memory existence, serial-independence assumption prevails.   This document’s long-term dependence assessment relies...

Technical efficiency for Colombian small crop and livestock farmers: A stochastic metafrontier approach for different production systems

This paper assesses the efficiency of crop and livestock production in Colombia by using a sample of 1,565 households. The study considers households located in different production systems which differ in geography, climate and soil types. These conditions affect technical efficiency and thus...

This content has been translated into English for informational purposes. Upon any query regarding its interpretation or enforceability, the Spanish version shall be deemed official, and will prevail over the English version. The authors of specific texts such as working papers or articles select the language of publication; therefore, there might be cases in which the content may only be available in English. 

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