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- ÍtemAcceso Abierto
Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies(Universidad del Rosario, 2023-02-17) Hugo E. Ramírez; Sánchez López, Julián Fernando; Grupo de investigaciones. Facultad de Economía. Universidad del RosarioEste artículo estudia la liquidación óptima de activos financieros en la presencia de impactos de precio temporales y permanentes. Empezamos presentando soluciones analíticas al problema con impacto temporal lineal, y impacto permantente lineal y cuadrático. Luego, usando información del libro de ordenes para la criptomoneda BNB, estimamos la forma funcional del los impactos permanente y temporal bajo tres escenarios diferentes: subestimado, sobrestimado y estimado promedio, encontrando diferentes formas funcionales para cada escenario. Usando diferencias finitas e iteración de política óptima resolvemos el problema de forma numerica y observamos cambios interesantes en la política óptima cuando aplicamos las formas funcionales calibradas lineal y potencia para los impactos temporal y permanente. Luego con estas políticas óptimas, identificamos la trayectoria de liquidación óptima y con objeto de comparar, simulamos liquidaciones entre las diferentes estrategias óptimas bajo las diferentes parametrizaciones y contra una estrategia ingenua. finalmente, caracterizanos las políticas óptimas basados en la forma funcional del inventario y encontramos que las políticas que generan mayor ganacia son aquellas que empiezan con baja taza de liquidación que aumenta con el tiempo. - ÍtemAcceso AbiertoOptimal investment with insurable background risk and nonlinear portfolio allocation frictions(Universidad del Rosario, 2023-03-07) Ramírez, H; Serrano, R; Grupo de investigaciones. Facultad de Economía. Universidad del RosarioWe study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a jump-diffusion process with negative jumps in the return rate of the (self-financed) wealth. The main distinctive feature of our model is that the agent’s decision on portfolio choice and insurance demand causes nonlinear friction in the dynamics of the wealth process. We use the dynamic programming approach to find optimality conditions under which the agent assumes the insurable risk entirely, or partially, or purchases total insurance against it. In particular, we consider differential and piece-wise linear portfolio allocation frictions, with differential borrowing and lending rates as our most emblematic example. Finally, we present a mutual-fund separation result and illustrate our results with several numerical examples when the adverse jump risk has Beta distribution.
- ÍtemAcceso AbiertoRevisiting the relationship between firm strategic capabilities and productivity in a multilevel analysis: Do labor market conditions matter?(Universidad del Rosario, 2023-02-12) García-Suaza, Andrés; Cardenas Echeverri, Fernando; Juan Esteban, Garzón Restrepo; Grupo de investigaciones. Facultad de Economía. Universidad del RosarioThis paper studies the relationship between managerial capital, social capital and firm productivity in Colombia, and explores whether this relationship depends on labor quality and formality. Results confirm a positive and significant effect of firm capabilities (managerial and social capital) on TFP (total factor productivity) and suggest a substitution effect between them. A positive effect of labor quality and formality on firm productivity is documented. Even though results are not conclusive, labor quality appears to increase the effect of managerial capital and reduce that for social capital, while labor formality seems to have no impact on their marginal effect. This is important for policy makers reinforcing the importance of quality education, labor formality and the relevance of programs promoting adoption of managerial practices and development of networks.
- ÍtemAcceso AbiertoFirms, Informality & Institutions. The case of Colombia(Universidad del Rosario, 2022-12-14) Fernández, Cristina; Grupo de investigaciones. Facultad de Economía. Universidad del RosarioThis paper illustrates how two well indented policies to reduce informality as the income tax waiver for small firms, and the income tax deduction of labor cost, end up generating a large amount of small firms hiring workers without a formal contract. This paper also shows the difficulties to reduce informality amidst the complex regulatory environment of Colombia. Policies oriented to reduce labor informality have a limited impact and are costly from the fiscal point of view, policies oriented to reduce business informality are more effective, but does not necessarily reduce labor informality if they are directed towards low productivity firms, because such firms do not have incentives to hire formally. The methodology used to illustrate these facts was the estimation of Ulyssea (2018) for the case of Colombia with the mentioned institutional constraints and a minimum wage. The data base used compiles most of the firm information available in the country (Fernández, 2021).
- ÍtemAcceso AbiertoThe links between catastrophic health expenditures and multidimensional poverty: An instrumental variable analysis in India(Universidad del Rosario, 2022-12-14) Pinilla-Roncancio, Monica; AMAYA LARA, JEANNETTE LILIANA; Cedeño-Ocampo, Gustavo; Rodriguez-Lesmes, Paul; Sepulveda, Carlos E.; Grupo de investigaciones. Facultad de Economía. Universidad del RosarioThe relationship between multidimensional poverty and catastrophic health expenditures has not been studied in detail, specifically how dependent such a connection is according to the specific context. This study aims to determine whether households who face catastrophic health expenditures in India have a higher probability of living in multidimensional poverty, given their socio-economic background and the protection provided by access to health insurance. We explore such a relationship in the case of India, exploiting variation in the development level of its regions and the socio-economic conditions faced conditional on caste. Using data from the Indian Human Development Survey, we exploit longitudinal variation at the household level using a linear probability model. We complement this analysis with an instrumental variable analysis, using a health shock to analyse the causal relationship between facing a shock which increases catastrophic health expenditures and living in multidimensional poverty. The results revealed that households facing catastrophic health expenditures in India have a higher probability of being multidimensionally poor. Such a relationship was only partially mitigated if the household was protected by health insurance, and there were almost no differences according to the caste of the household. Moreover, the relationship was stronger outside South India, especially on the role of health insurance. and place of residence. In the case of the instrumental variable analysis, the results show the same pattern as in the longitudinal model; however, the results are not significant.
