Publications
Making hard choices: trilemmas and dilemmas of macroeconomic policy in Latin America
This paper tests the linearity of the Mundellian trilemma of monetary policy and empirically characterizes its structure in Colombia, Chile, Mexico and Peru. The role of credit growth is then explicitly considered in order to test the alternative hypothesis of a dilemma generated by global financial cycles in capital flows and domestic credit conditions. Results confirm the linearity of the trilemma and underline important differences regarding the weight given to these goals across countries. Evidence suggests that the trilemma morphs into a restriction with two goals (a dilemma) in episodes of high credit growth.
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Un análisis de la efectividad de las intervenciones cambiarias en el Perú
Beyond their role as international reserve accumulation operations, official exchange market interventions are becoming less frequent as macroeconomic policy tools. In the Peruvian case, however, the economic authorities have actively carried out this type of intervention over recent years. This article explores the effectiveness of the exchange interventions of the Central Reserve Bank of Peru (BCRP) in the spot exchange market during the period 2003-2015 through a study of events and the estimation of an econometric threshold model. The evidence suggests that BCRP interventions were effective in smoothing the volatility of the exchange rate and generating movements opposite to its trend in periods of extreme volatility in the exchange market.
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Do foreign exchange interventions work as coordinating signals in Colombia?
This paper analyses the effectiveness of official interventions of the Colombian Central Bank in the foreign exchange market over the period of June 2008–December 2013. The estimation procedure suggested by Hansen (2000) is used to estimate a threshold model for the spot exchange rate that splits the data sample into two different regimes that depend on the extent of the misalignment of the exchange rate from a fundamental value. The estimation results provide empirical evidence of the existence of a coordination channel of intervention proposed by Sarno and Taylor (2001). According to the theory of the coordination channel, interventions by central banks work as signals that solve a coordination failure in the foreign exchange market when speculation moves the exchange rate from its fundamental value. The results suggest that foreign exchange interventions had a considerable and statistically significant effect in depreciating t
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El efecto del endeudamiento hipotecario sobre los precios de vivienda en Colombia: un enfoque de agentes diferenciados
An increasing amount of economic literature has stressed the relationship between strong housing price appreciation and demand for real estate investment. Following these findings, this research seeks to determinate the effect of mortgage credit on housing prices in Colombia with a framework of heterogeneous agents regarding the occupancy type. The hypothesis states that mortgage credit has a positive and statistically significant effect on housing prices when the activity of real estate investors gains importance. The methodology involves the estimation of threshold univariate and threshold vector autoregressive models during the period March 1988 - December 2015. Results imply that mortgage credit had a positive and statistically significant effect on housing prices when proxies of the presence of real estate investors exceed the estimated thresholds.
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