Working Papers on Economics

In this paper, we analyze the tail-dependence structure of credit default swaps (CDS) and the global financial cycle for a group of eleven emerging markets. Using a Copula-CoVaR model, we provide evidence that there is a significant taildependence between variables related with the…

The business cycle is the cycle in the output gap and also in a stationary measure of trend output. Both the output gap and trend output are driven by joint trend-cycle shocks. The model is a univariate trend-cycle decomposition with hysteresis in trend output that enables the…

In this paper we extend the economic model used in Parra et al. (2020) to incorporate two significant groups that were not included in the original analysis: people who are retired with pension equivalent to the minimum wage and those who do not fulfill pension requirements and…

We develop a methodology that recovers an estimate of the average stock of vacancies using the information on aggregated hires. We show that our prediction of the vacancy stock is unbiased, and it captures well the level and the dynamics of the United States job opening positions…

Assessing the effects of U.S. monetary policies on portfolio flows is important for policymakers as they could pose risks to the effectiveness of domestic monetary policy. This paper analyzes the effects of the Global Financial Cycle (GFC) and Federal Reserve (Fed) unconventional…

The development of methodologies that enable the diagnosis of the current state and trend of economic activity is particularly important to improve the decision-making process in economic policy. This paper proposes a new weekly indicator of economic activity for Colombia, covering the…

The objective of the study is to evaluate the main determinants of the Colombian gross portfolio inflows and outflows from non-resident and resident investors and to study the role of the interest rate of the domestic monetary policy. The conceptual framework is the standard portfolio…

We revisit an old question but with a new identification strategy, namely the difference in exchange rate effects between announced (“vocal”) and secret (“dirty”) foreign exchange intervention. Using a Regression Discontinuity Design, we exploit a rule-based intervention mechanism…

Assessing the composition of sovereign debt holders is important because investors’ behavior varies according to distinctive  components, including shareholders’ preferences, regulatory constraints, and profitability mandates. To study this issue, we examine the determinants of…

Behavioral Equilibrium Exchange Rate (BEER) models suggest many variables as potential drivers of equilibrium real exchange rates (ERER). This gives rise to model uncertainty issues, as ERER depends and varies, often drastically, on a particular set of chosen variables. We address this…

Price dispersion is a prevalent feature even of markets where, arguably, homogeneous good are traded. At the heart of the causes of price dispersion lie the firms’ strategic interactions with their customers and rivals. Consumers’ eagerness and ability to search for lower prices tends…

This paper estimates the effect of financial development on the transmission of monetary policy. To do so, the paper employs a panel data set containing financial development indicators, policy rates, lending rates, and deposit rates for 43 countries for the period 2000-2019 and…

Colombia is particularly affected by the El Niño Southern Oscillation (ENSO) weather fluctuations. In this context, this study explores how the adverse weather events linked to ENSO affect the inflation expectations in Colombia and how to incorporate these second-round effects into a…

We introduce a methodology for generating alerts of potential anti-competitive practices in the Colombian wholesale electricity market.

Using a computable general equilibrium model calibrated for 2019, shocks of various characteristics to the minimum wage are simulated to establish the effects on the nation's fiscal accounts. This document is a pioneer in that analysis. The evidence suggests adverse effects of…

The objectives of the study are, first, to build homogeneous and consistent series of macroeconomic savings and investment and their balances for the economy and institutional sectors of Colombia for the period 1975-2021. Second, describe the economic context in which they were…

This study analyzes the expected effects of climate change on Colombia’s current account. To this end, we present a literature review that outlines how climate-related risks could impact the balance of payments, complemented with an analysis that illustrates how the 2014-2015 oil shock…

We provide evidence of the negative effect of the minimum wage on labor market flows, such as job creation, job destruction, hiring, and separations in Colombia. Depicting firms' minimum wage (MW) compliance cost, we find evidence of an adverse effect of increases on MW compliance cost…

In this paper, we examine the financial and real effects of macroprudential policies with a new identifying strategy that exploits borrower-specific provisioning levels for each bank. Locally, we compare similar firms just below and above regulatory…