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

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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.

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

Description

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

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Keywords

Keywords

Portfolio balance channel , Sovereign credit rating , Uncovered interest rate parity , Monetary trilemma

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6252
 https://hdl.handle.net/20.500.12134/6252
 https://ideas.repec.org/p/bdr/borrec/941.html
 https://doi.org/10.32468/be.941

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