Browsing by Author "Villamizar-Villegas, Mauricio"
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Item Open AccessAn Auction-Based Test of Private Information in an Interdealer FX Market(Banco de la República de Colombia, 2018-09-26) Bonaldi, Pietro; Villamizar-Villegas, MauricioThere are several financial markets where dealers trade a large share of total volume, while also having access to periodic auctions of the same asset conducted by a third party. For such a market, we derive a test of private information about the value of the asset that combines data on both bidding behavior and market trades. Our approach is to test for private versus common values, as defined in auction theory. We use changes in trading prices of extreme bidders before and after the auction to test the null hypothesis of private values (no private information) against the alternative of common values (private information). Additionally, we use a regression discontinuity design where we compare the behavior of dealers bidding right below and right above the auction’s cutoff price to control for inventory effects, understood here as decreasing marginal valuations as functions of inventory. Our case study are foreign exchange auctions conducted by the Central Bank of Colombia during the period 2008-2014, and the corresponding interdealer market for the Colombian peso against the US dollar. Overall, the data does not reject the null hypothesis of private values. Specifically, information about other bidders’ valuations has no significant effect on trading prices, not even shortly after the auction takes place.Documentos de Trabajo RIEC - No. 1, 2018-09-26Item Open AccessSuperando barreras: el impacto del crédito en el sector agrario en Colombia(Banco de la República, 2018-07-17) Echavarría-Soto, Juan José; Villamizar-Villegas, Mauricio; Restrepo-Tamayo, Sara; McAllister-Harker, Daniela; Hernández-Leal, Juan David; Echavarría-Soto, Juan José; Villamizar-Villegas, Mauricio; Restrepo-Tamayo, Sara; Banco de la República - ColombiaLibro RIEC Primera edición, 2018-07-17Item Open AccessBayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ EstimatesMelo-Velandia, Luis Fernando; Loaiza, Rubén; Villamizar-Villegas, Mauricio; Banco de la República - ColombiaTypically, central banks use a variety of individual models (or a combination of models) when forecasting inflation rates. Most of these require excessive amounts of data, time, and computational power; all of which are scarce when monetary authorities meet to decide over policy interventions. In this paper we use a rolling Bayesian combination technique that considers inflation estimates by the staff of the Central Bank of Colombia during 2002-2011 as prior information. Our results show that: 1) the accuracy of individual models is improved by using a Bayesian shrinkage methodology, and 2) priors consisting of staff's estimates outperform all other priors that comprise equal or zero-vector weights. Consequently, our model provides readily available forecasts that exceed all individual models in terms of forecasting accuracy at every evaluated horizon.Documentos de Trabajo RIEC - No. 8, 2014-11-20Item Open AccessA Comprehensive History of Regression Discontinuity Designs: An Empirical Survey of the last 60 YearsVillamizar-Villegas, Mauricio; Pinzón-Puerto, Freddy A.; Ruiz-Sánchez, María Alejandra; Banco de la República - ColombiaIn this paper we detail the entire Regression Discontinuity Design (RDD) history, including its origins in the 1960's, and its two main waves of formalization in the 1970's and 2000's, both of which are rarely acknowledged in the literature. Also, we dissect the empirical work into fuzzy and sharp designs and provide some intuition as to why some rule-based criteria produce imperfect compliance. Finally, we break the literature down by economic field, highlighting the main outcomes, treatments, and running variables employed. Overall, we see some topics in economics gaining importance through time, like the cases of: health, finance, crime, environment, and political economy. In particular, we highlight applications in finance as the most novel. Nonetheless, we recognize that the field of education stands out as the uncontested RDD champion through time, with the greatest number of empirical applications.Documentos de Trabajo RIEC - No. 38, 2020-04-20Item Open AccessPost-graduation from the original sin problem The effects of market participation on sovereign debt marketsOcampo, José Antonio; Orbegozo, German D.; Villamizar-Villegas, Mauricio; Banco de la República - ColombiaWe evaluate the effects of the sovereign debt structure by examining various degrees of bond market participation and diversification within different bond maturities and investor type. We use a unique Colombian panel dataset, comprised of all government bond maturities in the hands of public and private institutions during 2006-2018. For identification, we propose an instrumental variable approach, specific to each investor group. We find that an increase in non-residents' market share of a 1 percentage point reduces bond yields by 35% and lowers volatility by 0.8%, relative to their mean values. Alternatively, we see an opposite effect for both pension funds and the banking sector. Finally, we find that market concentration makes local-currency yields more sensitive to global financial shocks.Documentos de Trabajo RIEC - No. 39, 2020-04-20Item Open Access
Sustainability as a Policy ToolVillamizar, Rodrigo; Villamizar-Villegas, Mauricio; Arango-Lozano, Lucía; Castelblanco, Geraldine; Banco de la República - ColombiaIn this policy note we propose a new country-based sustainability index comprised of three main drivers: climate change, energy use, and resource depletion. We argue that increases in clean energy intensity (clean energy per dollar of GDP), decreases in carbon intensity (carbon emission per dollar of GDP), and water intensity (water used per dollar of GDP) significantly affect sustainability. Supplementary, we compare our proposed index with macroeconomic indicators like GDP, Income per capita and other development indices such as the Human Development Index and the GINI, showing marked differences, which we interpret as unexplored areas for sustainable gains.Documentos de Trabajo RIEC - No. 82, 2021-07-15Item Open AccessCovid-19 consecuencias y desafíos en la economía colombiana. Una mirada desde las universidades(Banco de la República - Colombia) Cortés, Darwin; Posso-Suárez, Christian Manuel; Villamizar-Villegas, Mauricio; Carranza, Juan Esteban; Martin-Ocampo, Juan D; Riascos, Alvaro J; Botero, Jesús; Arellano Morales, Matheo; Montañez, Diego; González-Auhing, Marcos; Bonet-Morón, Jaime; Ricciulli, Diana; Pérez-Valbuena, Gerson Javier; Galvis-Aponte, Luis Armando; Haddad, Eduardo; Araújo, Inácio; Perobelli, Fernando; Morales-Zurita, Leonardo Fabio; Bonilla-Mejía, Leonardo; Pulido, José David; Flórez, Luz Adriana; Lasso-Valderrama, Francisco Javier; Hermida-Giraldo, Didier; Pulido-Mahecha, Karen L; Cardenas Rubio, Jeisson Arley; Montaña Doncel, Jaime; García-Suaza, Andrés; Jaramillo-Jassir, Iván Daniel; Londoño, Diana Isabel; Ortiz, Santiago; Rodríguez-Lesmes, Paul; Alfaro, Laura; Eslava, Marcela; Becerra, Oscar; Gallegos, Andrés; Londoño, Diana Isabel; Fuentes Vélez, Mariana; González, Felipe; Pérez Pulgarín, Stiven; Andia, Tatiana; Criado, Leonel; Mantilla, César; Molano, Andrés; Abadía, Luz Karime; Bernal, Gloria; Gómez, Silvia; Alonso, Santiago; Rodríguez A., Sandra; Diartt, Carolina; Blattman, Christopher; Cerero, David; Duncan, Gustavo; Hernández, Sebastián; Lessing, Benjamin; Martínez, Juan F; Mesa-Mejía, Juan Pablo; Montoya, Helena; Tobón, Santiago; Alvarez-Espinoza, Andrés Camilo; Zambrano, Andrés; Zuleta, Hernando; Sierra, Lya Paola; Vidal, Pavel; Cerón, Julieth; Sánchez-Salazar; Cristian Andrés; López-González, Cristina; Torres-Gómez, Edwin Esteban; Torres-Gorrón, Jhon Edwar; López-González, Mauricio; Quintero-Fragozo, Camilo; Rodríguez-Puello, Gabriel; Espinosa-Espinosa, Aarón; Banco de la República - Colombia; Universidad del RosarioLibro RIEC , 2022-04-28Item Open AccessThe effects of Monetary Policy on Capital Flows A Meta-AnalysisVillamizar-Villegas, Mauricio; Arango-Lozano, Lucía; Castelblanco, Geraldine; Fajardo-Baquero, Nicolás; Ruiz-Sánchez, María Alejandra; Banco de la República - ColombiaWe investigate whether central banks are able to attract or redirect capital flows, by bringing together the entire empirical literature into the first quantitative meta-analysis on the subject. We dissect policy effects by the type of flow and by the origin of the monetary shock. Further, we assess whether policy effects depend on factors that drive investors to either search for yields or fly to safety. Our findings indicate a mean effect size of inflows in the amount of 0.09% of quarterly GDP in response to either a 100 basis point (bp) increase in the domestic policy rate or a 100bp reduction in the external rate. However, the effect size under a random effect specification is much lower (0.01%). Factors that significantly attract inflows include foreign exchange reserves, output growth, and financial openness, while factors that deter flows include foreign debt, capital controls, and departures from the uncovered interest rate parity. Also, both local and global risks matter (global risks exerting a larger pressure). Finally, we shed light on differences across the different types of flows: banking flows being the most responsive to monetary policy, while foreign direct investment being the least responsive.Documentos de Trabajo RIEC - No. 93, 2022-08-22Item Open AccessThe Leading Role of Bank Supply ShocksBonilla-Mejía, Leonardo; Ruiz-Sánchez, María Alejandra; Villamizar-Villegas, Mauricio; Banco de la República - ColombiaThis paper studies the impact of the Covid-19 pandemic on corporate credit in Colombia. We first exploit the geographic and temporal variation in the disease spread to estimate the effect of local exposure to the virus on credit. Our estimates indicate that neither local exposure to the virus, nor the sector-specific mobility restrictions had an impact on credit. We then assess the role of bank supply shocks. We create a measure of bank exposure, reflecting the geographic heterogeneity in pandemic vulnerability and deposits, and estimate its effect on credit. Results indicate that bank-supply shocks account for a credit contraction of approximately 5.2%. To further disentangle the role of bank supply shock, we control for the interaction between firm and time fixed-effects and restrict the sample to municipalities that were relatively spared from the pandemic, finding similar results. Most of the bank supply effects are driven by firms that are small, young, and have relatively low liquidity.Documentos de Trabajo RIEC - No. 94, 2022-08-22Item Open AccessThe Leading Role of Bank Supply ShockBonilla-Mejía, Leonardo; Villamizar-Villegas, Mauricio; Ruiz-Sánchez, María Alejandra; Banco de la República - ColombiaThis paper studies the impact of the Covid-19 pandemic on corporate credit in Colombia. We first exploit the geographic and temporal variation in the disease spread to estimate the effect of local exposure to the virus on credit. Our estimates indicate that neither local exposure to the virus, nor the sector-specific mobility restrictions had an impact on credit. We then assess the role of bank supply shocks. We create a measure of bank exposure, reflecting the geographic heterogeneity in pandemic vulnerability and deposits, and estimate its effect on credit. Results indicate that bank-supply shocks account for a credit contraction of approximately 5.2%. To further disentangle the role of bank supply shock, we control for the interaction between firm and time fixed-effects and restrict the sample to municipalities that were relatively spared from the pandemic, finding similar results. Most of the bank supply effects are driven by firms that are small, young, and have relatively low liquidity.Documentos de Trabajo RIEC - No. 101, 2023-02-08Item Open AccessMitos y realidades de la política monetaria(Banco de la República) Villamizar-Villegas, Mauricio; Taboada-Arango, BibianaLibro RIEC , 2024-11-22