Uncovering the portfolio balance channel with the use of sovereign credit ratings

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Borradores de Economía; No. 941
Date published
2016-05-11
Date of last update
2016-05-11
Author
Andrade-Pardo, Laura
Valencia-Arana, Oscar Mauricio
Vásquez, Diego Mauricio
Villamizar-Villegas, Mauricio
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
In this paper we study exchange rate effects due to shifts in the portfolio composition of the Colombian financial sector during 2003-2014. We first provide a theoretical understanding of the channel's transmission mechanism by modeling how the banking
JEL Codes
E44 - Financial Markets and the MacroeconomyC58 - Financial EconometricsG14 - Information and Market Efficiency; Event Studies; Insider TradingG11 - Portfolio Choice; Investment Decisions
Keywords
Portfolio balance channel ; Sovereign credit rating ; Uncovered interest rate parity ; Monetary trilemma ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6252
https://hdl.handle.net/20.500.12134/6252
https://doi.org/10.32468/be.941
https://ideas.repec.org/p/bdr/borrec/941.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit