Browsing by Author "Gomez-Gonzalez, Jose Eduardo"
Now showing items 1-8 of 8
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Bank Market Power and Firm Finance: Evidence from Bank and Loan Level Data
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
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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
No. 46 -
Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets
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
No. 47 -
Sectoral Fiscal Multipliers and Budget Inflexibility: The Role of Allocative Inefficiency
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
No. 59 -
Global effects of US uncertainty: real and financial shocks on real and financial markets
We estimate the effects of financial, macroeconomic and policy uncertainty from the United States on the dynamics of credit growth, stock prices, economic activity, bond yields and inflation in five of the main receptors ...Documentos de Trabajo. 2020-10-30
No. 69 -
Explaining the Rural-Urban Student Performance Gap for Different Distribution Quantiles in Colombia
This paper studies the determinants of student performance in the PISA 2018 tests in Colombia focusing on the rural-urban gap. Using quantile regression, a student-level education production function at different points ...Documentos de Trabajo. 2021-02-15
No. 74 -
Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model
Rises in sovereign risk adversely affect banks reducing their profits and increasing their funding costs. Impacts are specially strong on banks holding important positions of government debt in the investment portfolios. ...Documentos de Trabajo. 2021-02-25
No. 75 -
Interdependent Capital Structure Choices and the Macroeconomy
This study shows that capital structure choices of US corporations are interdependent across time. We follow a two-step estimation approach. First, using a large cross-section of firms we estimate year-by-year average ...Documentos de Trabajo. 2021-04-06
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