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
2016-05-11
Authors
Andrade-Pardo, Laura
Valencia-Arana, Oscar Mauricio
Vásquez-Escobar, Diego
Villamizar-Villegas, Mauricio
Valencia-Arana, Oscar Mauricio
Vásquez-Escobar, Diego
Villamizar-Villegas, Mauricio
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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.
The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.
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
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JEL Codes
E44 - Financial Markets and the Macroeconomy
C58 - Financial Econometrics
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions
C58 - Financial Econometrics
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions
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Keywords
Modelo DCC-GARCH, Crisis financiera, Derrames de volatilidad, Vínculos del mercado de valores global
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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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