Browsing by Author "Gomez-Gonzalez, Jose Eduardo"
We present new measures of market power for the banking industry in Colombia and estimate their effect on the cost of credit for non-financial firms. Our results suggest that bank competition increased during the 2006-2008 ...Documentos de Trabajo. 2019-08-29
Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets
We explore the higher order linkages between energy commodity markets and global financial markets. Our focus is on spillovers of realized good and bad volatilities, realized signed jump variation, realized skewness and ...Documentos de Trabajo. 2020-06-03
We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets ...Documentos de Trabajo. 2020-06-03
This paper studies fiscal multipliers in Colombia, an emerging economy with a high degree of inflexibility of expenditure at the sectoral level. The results show that the multiplier is almost twice as large in sectors in ...Documentos de Trabajo. 2020-07-03