Facultad de Economíahttps://repository.urosario.edu.co/handle/10336/202912024-03-29T14:16:38Z2024-03-29T14:16:38Z4361A DSGE model with loss aversion in consumption and leisure: an explanation for business cycles asymmetriesGómez Muñoz, Wilman Arturohttps://repository.urosario.edu.co/handle/10336/109672021-06-03T05:46:36Z2014-01-01T00:00:00Zdc.relation.isversionof: 1
dc.title: A DSGE model with loss aversion in consumption and leisure: an explanation for business cycles asymmetries
dc.description.abstract: In this chapter, an asymmetric DSGE model is built in order to account for asymmetries in business cycles. One of the most important contributions of this work is the construction of a general utility function which nests loss aversion, risk aversion and habits formation by means of a smooth transition function. The main idea behind this asymmetric utility function is that under recession the agents over-smooth consumption and leisure choices in order to prevent a huge deviation of them from the reference level of the utility; while under boom, the agents simply smooth consumption and leisure, but trying to be as far as possible from the reference level of utility. The simulations of this model by means of Perturbations Method show that it is possible to reproduce asymmetrical business cycles where recession (on shock) are stronger than booms and booms are more long-lasting than recession. One additional and unexpected result is a downward stickiness displayed by real wages. As a consequence of this, there is a more persistent fall in employment in recession than in boom. Thus, the model reproduces not only asymmetrical business cycles but also real stickiness and hysteresis.
2014-01-01T00:00:00ZGómez Muñoz, Wilman ArturoIn this chapter, an asymmetric DSGE model is built in order to account for asymmetries in business cycles. One of the most important contributions of this work is the construction of a general utility function which nests loss aversion, risk aversion and habits formation by means of a smooth transition function. The main idea behind this asymmetric utility function is that under recession the agents over-smooth consumption and leisure choices in order to prevent a huge deviation of them from the reference level of the utility; while under boom, the agents simply smooth consumption and leisure, but trying to be as far as possible from the reference level of utility. The simulations of this model by means of Perturbations Method show that it is possible to reproduce asymmetrical business cycles where recession (on shock) are stronger than booms and booms are more long-lasting than recession. One additional and unexpected result is a downward stickiness displayed by real wages. As a consequence of this, there is a more persistent fall in employment in recession than in boom. Thus, the model reproduces not only asymmetrical business cycles but also real stickiness and hysteresis.A firm-level analysis of ICT adoption in an emerging economy: evidence from the colombian manufacturing industriesGallego Acevedo, Juan MiguelGutiérrez Ramírez, Luis HernandoSang, Leehttps://repository.urosario.edu.co/handle/10336/108492021-06-03T05:46:37Z2011-01-01T00:00:00Zdc.title: A firm-level analysis of ICT adoption in an emerging economy: evidence from the colombian manufacturing industries
dc.description.abstract: This study examines ICT adoption among 3,759 Colombian manufacturing firms, and attempts to identify the factors that are conducive to the adoption and usage of ICT at the firm level. Our major findings are (i) that the adoption of a given information and communication technology is better facilitated when a firm is relatively large, has large human capital, engages in more innovative activities, and when a firm’s organizational structure is better aligned with the given technology; (ii) that positive associations between the key determinants and ICT adoptions are more pronounced for small and medium-sized firms than for large ones, and (iii) that information spillovers within industries is also a determinant of ICT adoptions by the firms.
2011-01-01T00:00:00ZGallego Acevedo, Juan MiguelGutiérrez Ramírez, Luis HernandoSang, LeeThis study examines ICT adoption among 3,759 Colombian manufacturing firms, and attempts to identify the factors that are conducive to the adoption and usage of ICT at the firm level. Our major findings are (i) that the adoption of a given information and communication technology is better facilitated when a firm is relatively large, has large human capital, engages in more innovative activities, and when a firm’s organizational structure is better aligned with the given technology; (ii) that positive associations between the key determinants and ICT adoptions are more pronounced for small and medium-sized firms than for large ones, and (iii) that information spillovers within industries is also a determinant of ICT adoptions by the firms.A jump telegraph model for option pricingRatanov, Nikitahttps://repository.urosario.edu.co/handle/10336/112962019-09-19T12:37:01Z2004-01-01T00:00:00Zdc.title: A jump telegraph model for option pricing
dc.description.abstract: In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.
2004-01-01T00:00:00ZRatanov, NikitaIn this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.A model of school behavior: tuition fees and grading standardsMaldonado, Dariohttps://repository.urosario.edu.co/handle/10336/109502021-06-03T05:46:37Z2008-01-01T00:00:00Zdc.title: A model of school behavior: tuition fees and grading standards
dc.description.abstract: This paper uses a hybrid human capital / signaling model to study grading standards in schools when tuition fees are allowed. The paper analyzes the grading standard set by a profit maximizing school and compares it with the efficient one. The paper also studies grading standards when tuition fees have limits. When fees are regulated a profit maximizing school will set lower grading standards than when they are not regulated. Credit constraints of families also induce schools to lower their standards. Given that in the model presented competition is not feasible, these results show the importance of regulation of grading standards.
2008-01-01T00:00:00ZMaldonado, DarioThis paper uses a hybrid human capital / signaling model to study grading standards in schools when tuition fees are allowed. The paper analyzes the grading standard set by a profit maximizing school and compares it with the efficient one. The paper also studies grading standards when tuition fees have limits. When fees are regulated a profit maximizing school will set lower grading standards than when they are not regulated. Credit constraints of families also induce schools to lower their standards. Given that in the model presented competition is not feasible, these results show the importance of regulation of grading standards.A Modest Proposal to Clarify the Status of Coca in the United Nations ConventionsThoumi, Francisco E.https://repository.urosario.edu.co/handle/10336/38792021-06-03T05:46:47Z2005-01-01T00:00:00Zdc.title: A Modest Proposal to Clarify the Status of Coca in the United Nations Conventions
dc.description.abstract: The implementation of anti-drug policies that focus on illicit crops in the
Andean countries faces many significant obstacles, one of which is the cultural
clash it generates between the main stakeholders. On the one hand
one finds the governments and agencies that attempt to implement crop
substitution and eradication policies and on the other the peasant and natives
communities that have traditionally grown and used coca or those peasants
who have found in coca an instrument of power and political leverage that
they never had before. The confrontation about coca eradication, alternative
development and other anti-drug policies in coca growing areas transcends
drug related issues and is part of a wider and deeper confrontation that
reflects the long-term unsolved conflicts of the Andean societies.
All Andean countries have stratified and fragmented societies in which peasants
and Indians have been excluded from power. In Bolivia, Ecuador and Peru most
peasants belong to native communities many of which have remained segregated
from “white” society. The mixing of the races (mestizaje) in Colombia occurred
early during the Conquest and Colony. Those of Indian descent became subservient
to the Spanish and Creoles. The society that evolved was (and still is) highly
hierarchical, authoritarian, and has subjacent racist values. The resulting political
system has been exclusionary of large portions of the population.
Among Indian communities coca has been used for millennia and its use
has become an identity symbol of their resistance against what may be
looked at as foreign invasion. “The Andean Indian chews coca because that
way he affirms his identity as son and owner of the land that yesterday the
Spaniard took away and today the landowner keeps away from him. To
chew coca is to be Indian...and to quietly and obstinately challenge the
contemporary lords that descend from the old encomenderos and the older
conquistadors” (Vidart, 1991: 61, author’s translation). In Andean literature on illegal drugs as well as in seminars, colloquia and
other meetings where drug policies are debated, complaints are frequently
expressed about the treatment of coca in the same category as cocaine,
heroin, morphine amphetamines and other “hard” drugs.
The complainants assert that “coca is not cocaine” and that it is unfair to
classify coca, a nature given plant which has been used for millennia in the
Andes without significant negative effects on users, in the same category as
man made psychotropic drugs. They also argue that coca has manifold social
and religious meanings in indigenous cultures, that coca is sacred and
that the requirement of the1961 Single Convention demanding that Bolivia
and Peru completely eradicate coca within 25 years is limiting Indigenous
communities in their freedom to practice their religions.
In most debates about drug interdiction, the views of those who oppose
that approach are not accepted as legitimate. Indeed, “prohibitionists”
demonize drugs and those who oppose drug policies in Latin America
frequently demonize the United States as the imperialist power that imposes
them. This dual polarization is a main obstacle to establish a meaningful
policy debate aimed at broadening the policy consensus necessary for
successful policy implementation. This essay surveys the status of coca in
the United Nations Conventions, explains why it is confusing, and how a
few changes would eliminate some of the sources of conflict and help
organize and control licit coca markets in the Andes. The current disorganized
and weakly controlled legal coca market in Peru has been analyzed to
demonstrate its deficiencies and to illustrate possible improvements in
international drug control policies.
2005-01-01T00:00:00ZThoumi, Francisco E.The implementation of anti-drug policies that focus on illicit crops in the
Andean countries faces many significant obstacles, one of which is the cultural
clash it generates between the main stakeholders. On the one hand
one finds the governments and agencies that attempt to implement crop
substitution and eradication policies and on the other the peasant and natives
communities that have traditionally grown and used coca or those peasants
who have found in coca an instrument of power and political leverage that
they never had before. The confrontation about coca eradication, alternative
development and other anti-drug policies in coca growing areas transcends
drug related issues and is part of a wider and deeper confrontation that
reflects the long-term unsolved conflicts of the Andean societies.
All Andean countries have stratified and fragmented societies in which peasants
and Indians have been excluded from power. In Bolivia, Ecuador and Peru most
peasants belong to native communities many of which have remained segregated
from “white” society. The mixing of the races (mestizaje) in Colombia occurred
early during the Conquest and Colony. Those of Indian descent became subservient
to the Spanish and Creoles. The society that evolved was (and still is) highly
hierarchical, authoritarian, and has subjacent racist values. The resulting political
system has been exclusionary of large portions of the population.
Among Indian communities coca has been used for millennia and its use
has become an identity symbol of their resistance against what may be
looked at as foreign invasion. “The Andean Indian chews coca because that
way he affirms his identity as son and owner of the land that yesterday the
Spaniard took away and today the landowner keeps away from him. To
chew coca is to be Indian...and to quietly and obstinately challenge the
contemporary lords that descend from the old encomenderos and the older
conquistadors” (Vidart, 1991: 61, author’s translation). In Andean literature on illegal drugs as well as in seminars, colloquia and
other meetings where drug policies are debated, complaints are frequently
expressed about the treatment of coca in the same category as cocaine,
heroin, morphine amphetamines and other “hard” drugs.
The complainants assert that “coca is not cocaine” and that it is unfair to
classify coca, a nature given plant which has been used for millennia in the
Andes without significant negative effects on users, in the same category as
man made psychotropic drugs. They also argue that coca has manifold social
and religious meanings in indigenous cultures, that coca is sacred and
that the requirement of the1961 Single Convention demanding that Bolivia
and Peru completely eradicate coca within 25 years is limiting Indigenous
communities in their freedom to practice their religions.
In most debates about drug interdiction, the views of those who oppose
that approach are not accepted as legitimate. Indeed, “prohibitionists”
demonize drugs and those who oppose drug policies in Latin America
frequently demonize the United States as the imperialist power that imposes
them. This dual polarization is a main obstacle to establish a meaningful
policy debate aimed at broadening the policy consensus necessary for
successful policy implementation. This essay surveys the status of coca in
the United Nations Conventions, explains why it is confusing, and how a
few changes would eliminate some of the sources of conflict and help
organize and control licit coca markets in the Andes. The current disorganized
and weakly controlled legal coca market in Peru has been analyzed to
demonstrate its deficiencies and to illustrate possible improvements in
international drug control policies.A Network model of systemic risk : identifying the sources of dependence across institutionsCastro, CarlosOrdóñez Herrera, Juan Sebastiánhttps://repository.urosario.edu.co/handle/10336/112842021-06-03T05:46:37Z2012-01-01T00:00:00Zdc.title: A Network model of systemic risk : identifying the sources of dependence across institutions
dc.description.abstract: We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the financial to the real sector. The model is calibrated to balance sheet data on the colombian financial sector. Results indicate that commercial banks are the most systemically important financial institutions in the system. Whereas government owned institutions are the most vulnerable institutions in the system.
2012-01-01T00:00:00ZCastro, CarlosOrdóñez Herrera, Juan SebastiánWe design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the financial to the real sector. The model is calibrated to balance sheet data on the colombian financial sector. Results indicate that commercial banks are the most systemically important financial institutions in the system. Whereas government owned institutions are the most vulnerable institutions in the system.A segmented and observable Yield CurveCastro, CarlosPeña, Juan FelipeRodriguez Revilla, Cristhian Andreshttps://repository.urosario.edu.co/handle/10336/205182021-08-30T20:00:17Z2019-11-01T00:00:00Zdc.title: A segmented and observable Yield Curve
dc.description.abstract: Following Almeida et al. (2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term inter-bank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices, provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.
dc.description: Siguiendo a Almeida et al. (2018) implementamos un modelo segmentado de Nelson-Siegel de tres factores para la estructura a plazos, utilizando precios diarios de los TES en pesos y la tasa interbancaria de referencia para Colombia. La estimación flexible de cada segmento de la curva (corto, medio y largo) proporciona una ventaja sobre el modelos clásico de Nelson y Siegel en el momento de realizar pronósticos dentro y fuera de la muestra. Un modelo segmentado basado en los datos directos de los bonos proporciona un aproximación mas cercana a las necesidades de los profesionales en la industria en términos de su capacidad para reproducir los precios del mercado y permitir choques locales en los diferentes segmentos de la curva de rendimientos.
2019-11-01T00:00:00ZCastro, CarlosPeña, Juan FelipeRodriguez Revilla, Cristhian AndresFollowing Almeida et al. (2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term inter-bank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices, provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.A simple test of momentum in foreign exchange marketsGarcía Suaza, Andrés FelipeGómez González, Juan Eduardohttps://repository.urosario.edu.co/handle/10336/109842021-06-03T05:46:37Z2011-01-01T00:00:00Zdc.relation.isversionof: 1
dc.title: A simple test of momentum in foreign exchange markets
dc.description.abstract: This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After controlling for important variables a§ecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum is a common feature in this group of emerging economies, and thus foreign exchange traders participating in these markets are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is asymmetric, being stronger in moments of currency depreciation than of appreciation. This behavior may be associated with central bank intervention
2011-01-01T00:00:00ZGarcía Suaza, Andrés FelipeGómez González, Juan EduardoThis study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After controlling for important variables a§ecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum is a common feature in this group of emerging economies, and thus foreign exchange traders participating in these markets are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is asymmetric, being stronger in moments of currency depreciation than of appreciation. This behavior may be associated with central bank interventionA survey on colombian agriculture during the 1990sArguello, Ricardohttps://repository.urosario.edu.co/handle/10336/108682019-09-19T12:38:03Z2002-01-01T00:00:00Zdc.title: A survey on colombian agriculture during the 1990s
dc.description.abstract: This survey reviews some of the key developments in Colombian agriculture during the 1990s. While economic reform and macro policy appear to largely determine the evolution of the sector throughout most of the decade, the impact of sectoral policy is not that clear. The long-run significance of changes brought about in the structure of agricultural production, trade balance, and social conditions in rural areas is unclear. Whether they are the product of a transitional period between two macro and sectoral policy perspectives, of a temporarily distorted set of incentives, or a combination of the two is an open question. Hopefully, a set of interrogations may arise that help improve our understanding of Colombian agriculture.
2002-01-01T00:00:00ZArguello, RicardoThis survey reviews some of the key developments in Colombian agriculture during the 1990s. While economic reform and macro policy appear to largely determine the evolution of the sector throughout most of the decade, the impact of sectoral policy is not that clear. The long-run significance of changes brought about in the structure of agricultural production, trade balance, and social conditions in rural areas is unclear. Whether they are the product of a transitional period between two macro and sectoral policy perspectives, of a temporarily distorted set of incentives, or a combination of the two is an open question. Hopefully, a set of interrogations may arise that help improve our understanding of Colombian agriculture.A Theory of Armed ClientelismGallego Durán, Jorge Andréshttps://repository.urosario.edu.co/handle/10336/178332019-09-19T12:37:01Z2018-01-01T00:00:00Zdc.title: A Theory of Armed Clientelism
dc.description.abstract: Armed clientelism is a particular form of patronage in which politicians and non-state armed groups establish a symbiotic relationship where the former provides economic resources, judicial protection, or other benefits, while the latter provides political support and votes. In this paper a theory of armed clientelism is presented, which shows that when politicians establish illegal alliances with armed groups and mafias, they face a political tradeoff: illegal alliances augment the probability of being elected, but generate the risk of being removed from office. The model predicts that in a context in which a mafia controls a district or a town, armed clientelism is more likely when social diversity among the constituency is high, the judicial system is inefficient, party identification of citizens to clientelistic parties is low, and candidates are highly budget-constrained. It also shows that armed clientelism is more likely when the illegal group and the machine are ideologically aligned.
2018-01-01T00:00:00ZGallego Durán, Jorge AndrésArmed clientelism is a particular form of patronage in which politicians and non-state armed groups establish a symbiotic relationship where the former provides economic resources, judicial protection, or other benefits, while the latter provides political support and votes. In this paper a theory of armed clientelism is presented, which shows that when politicians establish illegal alliances with armed groups and mafias, they face a political tradeoff: illegal alliances augment the probability of being elected, but generate the risk of being removed from office. The model predicts that in a context in which a mafia controls a district or a town, armed clientelism is more likely when social diversity among the constituency is high, the judicial system is inefficient, party identification of citizens to clientelistic parties is low, and candidates are highly budget-constrained. It also shows that armed clientelism is more likely when the illegal group and the machine are ideologically aligned.