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A Composite Indicator of Systemic Stress (CISS) for Colombia

The most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology...

Artificial Markets under a Complexity Perspective

The focus of this study is to build, from the ‘bottom-up’, a market with artificially intelligent adaptive agents based on the institutional arrangement of the Colombian Foreign Exchange Market (1994-1999) in order to determine simple agents’ design, rules and interactions that are sufficient to...

Beyond Bubbles: The role of asset prices in early-warning indicators

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....

Bitcoin: something seems to be ‘fundamentally’ wrong

In the present paper we remark that the absence of an intrinsic or fundamental value represents a problem for the stability of the bitcoin’s price as an asset. In addition, we consider some financial stability concerns that derive from the hypothesis that the bitcoin will survive as an asset...

Causes and Implications of Shifts in Financial Participation in Commodity Markets

We assess the causes and implications of the greater nancial participation in commodity markets post-2003. Focusing on crude oil, we build a calibrated macro-nance model of oil prices and quantities that also determines consumer welfare. We show that shifts in the preferences and constraints of...

CrashMetrics: An Application for Colombia

The financial crisis of the late 2000's highlighted the importance of strengthening risk management systems in financial markets. Consequently, an increasing interest in strategies to quantify risk under extreme scenarios has spawned. One of such techniques is CrashMetrics, a methodology for...

Dynamic Connectedness and Causality between Oil prices and Exchange Rates

We study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets....

Economic links, risk and stability

Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of nancial networks that is suitable for the construction of proxies for counterparty risk. Using data...

Financial Performance of Mandatory Pension Funds in Colombia

Mandatory pension fund (MPF) affiliates in Colombia do not have a great deal of information to gauge the financial performance of pension fund managers (PFM). At present, each PFM publishes a monthly report on average profitability for the preceding 36 months (tri-annual yield). However, this...

Financial transaction tax and banking margins: An empirical note for Colombia

Taxes on financial transactions have been especially controversial because of their potential effects on banking disintermediation. A modality of such taxes (Bank Debit Tax, BDT) was introduced in Colombia since the late nineties. Using monthly panel data from 1996 to 2014 for the major...

I know what you did during the last bubble: Determinants of housing bubbles' duration in OECD countries

We use hazard models to study the determinants of housing price bubbles’ duration. We answer two related questions: i). Does prolonged domestic monetary policy easing increase the duration of housing price bubbles? And, ii). Does prolonged monetary policy easing in the US influences housing...

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...

Testing for Bubbles in Housing Markets: New Results Using a New Method

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...

The Maple Bubble: A History of Migration among Canadian Provinces

This study reports evidence of the existence of house price bubbles in several Canadian provinces around the recent global financial crisis. Using a wealth of monthly data for about a thirty-year period we find evidence supporting the hypothesis that the bubble in Quebec transmitted to four...

Uncertainty spillover and policy reactions

Spells of uncertainty are argued to cause rapid drops in economic activity. Wait and see behavior and risk aversion in combination with other frictions can make periods of increased uncertainty an important driver of the business cycle. Emerging economies may endure even stronger and prolonged...

Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study

We study the relation between oil prices and stock market returns for a set of six countries, including important oil consumers and demanders. We study interconnectedness between oil and stock markets and characterize the dynamics of transmission and reception between them. We test for Granger...

What Do Nominal Rigidities and Monetary Policy Tell Us about the Real Yield Curve?

When Bubble Meets Bubble: Contagion in OECD Countries

We study the existence and international migration of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in...

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. Este contenido ha sido traducido al inglés con fines informativos. En caso de duda sobre su interpretación y/o aplicación, se entenderá que la versión en español es la versión oficial y prevalecerá sobre aquella en inglés. Para casos particulares como documentos de trabajo o artículos, el idioma original de publicación es escogido por el autor, por lo cual puede haber casos en los que el contenido esté disponible sólo en inglés.  

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