Factor shares at the sector level, Colombia 1990-2005

In general, empirical studies on economics rely on the assumption of constant capitalshare of income both at the aggregate level and at the sector level. However, there is noempirical evidence supporting the constancy of capital share at the sector level. In thispaper, using Colombian data, we measure capital share for 48 sectors during the period1990-2005. We also explore the relation between capital's share and factor prices andthe behavior of capital share during the business cycle. The main results are thefollowing: (i) capital share is not constant but, rather, has an increasing trend; (ii) capitalshares growth rates positively correlate with sector value-added growth; (iii) the capitalshares behave pro-cyclically; and (iv) there is a positive correlation between capitalshares and real wages and a negative correlation between capital shares and interestrates. These results suggest that the usual assumption of constant factor shares is notaccurate.Factor Shares, income distribution, cycles, economic growth, Colombia

A Simple Test of Momentum in Foreign Exchange Markets

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 affecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we find 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 find 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.Momentum, foreign exchange markets, hazard duration analysis, emerging economies. Classification JEL: G14, G15, C41.

Essays on econometric methods for duration data analysis

In economic analysis is usual to find that the outcome of interest represents the duration until an event occurs, e.g. the duration until getting a job, the firms lifetime, among others. The major challenge to analyze duration or survival data is the presence of censoring. The most of the existing survival models usually assume a parametric or semiparametric conditional hazard function. This thesis is formed by three chapters regarding alternative semiparametric estimation methods suitable for survival times observed under random censoring that do not require assumptions on the underlying duration distribution. These methods are motivated and applied in the context of unemployment duration studies. Chapter 1 studies counterfactual decomposition methods. Existing inference procedures applicable when data is fully observed, might produce missleading conclussions. This may explain the lack of decomposition exercises for variables related to duration outcomes, typically observed under right censoring. We propose two decomposition methods that consider the presence of this kind of censoring. First, under suitable restrictions on the censoring mechanism, we provide an Oaxaca-Blinder type decomposition method of the mean in a nonparametric context. Consistent estimation of the decomposition components is based on a prior estimator of the joint distribution of duration and covariates. Secondly, we consider a method that makes possible to decompose other distributional features, such as the median or the Gini coefficient. To do so, weaker assumptions on the censoring nature are needed, but it is required to introduce restrictions on the functional form of the conditional distribution of duration given covariates. We provide formal justification for asymptotic inference and study the finite sample performance through Monte Carlo experiments. Finally, we apply the proposed methodology to the analysis of unemployment duration gaps in Spain. This study suggests that factors beyond the workers' socioeconomic characteristics play a relevant role in explaining the difference between several unemployment duration distribution features such as the mean, the probability of being long term unemployed and the Gini coeficient. Chapter 2 proposes inference procedures on distributional regression models in the context of survival analysis. These models generalize classical survival models to a situation where slope coeficients depend on duration time. We formally justify asymptotic inferences on the varying coeficients under weak regularity conditions, similar to those needed when data is not censored. Finite sample properties of the proposed inference procedures are studied by means of Monte Carlo experiments. Finally, proposed method is implemented in two empirical exercises using US data. First, we study the effect of unemployment benefits on unemployment duration; and secondly we perform a counterfactual decomposition in the context of the recent Great Recession using US data. Chapter 3 adapts the generalized method of moments (GMM) to estimating parameters identified by moment restrictions involving survival time observed under right random censoring. When the underlying nonparametric joint distribution of survival time and the rest varibles can be identified under random censoring, the moment restrictions can be consistently estimated by weighting averages, which form a basis for the proposed GMM. Under classical assumptions in GMM estimation, we show consistency and asymptotic normality, and provide the optimal weighting matrix that maximizes relative efficiency. Finite sample properties are studied using a Monte Carlo expertiment of a linear in parameter structural model.Programa Oficial de Doctorado en EconomíaPresidente: Juan Mora López; Secretario: Alfonso Alba Ramírez; Vocal: César Sánchez Seller

Academic achievement in sciences: the role of preferences and educative assets

This paper provides new evidence on the effect of pupil´s self-motivation andacademic assets allocation on the academic achievement in sciences acrosscountries. By using the Programme for International Student Assessment 2006 (PISA2006) test we find that both explanatory variables have a positive effect onstudent´s performance. Self-motivation is measured through an instrumentthat allows us to avoid possible endogeneity problems. Quantile regression isused for analyzing the existence of different estimated coefficients over thedistribution. It is found that both variables have different effect on academicperformance depending on the pupil´s score. These findings support theimportance of designing focalized programs for different populations,especially in terms of access to information and communication technologiessuch as internet.PISA, self-motivation, academic assets, academic achievement, Quantile regression

The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter

Using a panel of Colombian banks and quarterly data between 1996:1 and 2010:3, we study the relationship between short-run adjustments in bank capital buffers and the business cycle. We follow a partial adjustment framework and control for several variables that have been identified as important determinants of bank capital buffers in previous studies, and find that bank capital buffers vary over the business cycle. We are able to identify a negative co-movement of capital buffers and the business cycle. However, we also find that capital buffers of small and large banks behave asymmetrically during the business cycle. While the former appear to be constant over time, once the appropriate set of control variables is used, the latter present a countercyclical behavior. Our results suggest the possible need of the implementation of regulatory policy measures in developing countries.Bank capital buffers, Credit risk, Regulation, Colombia. Classification JEL: C26, G2, G28.

Estimaciones de los determinantes de los ingresos laborales en Colombia con consideraciones diferenciales para asalariados y cuenta propia

Economic literature about determinants of labor income has evolved around its theoretical and methodological foundations and more sophisticated and accurate empirical estimations emerged. Colombian literature, though prolific, lacks on rigor. In order to exemplify the effects of this inattention to detail and using data from the Colombian Household Survey we provide joint estimations of labor income´s determinants for both waged and self-employed workers and contrast them with more accurate, detailed and decomposed estimations in order to illustrate the bias generated by sloppy and unsupported considerations of these two different kinds of workers.Waged workers, self-employment, Selection Bias, Colombia

Ahorro para el retiro en Colombia: patrones y determinantes

La decisión de los individuos acerca del ahorro para el retiro ha sido abordada teóricamente bajo la hipótesis de que el sistema de seguridad social se comporta como un sustituto de otros mecanismos de ahorro. Este documento presenta evidencia de los determinantes y patrones de ahorro para el retiro en Colombia a partir de la Gran Encuesta Integrada de Hogares de 2007. Los resultados muestran que el 63% de los ocupados declaran no ahorrar para su vejez. A partir de modelos de selección discreta se encuentra que individuos jóvenes, de sexo masculino, con menor nivel educativo, que residen en zonas rurales o trabajan como cuenta propia, presentan menores probabilidades de ahorrar para el retiro; además las características socioeconómicas resultan significativas en la determinación del mecanismo de ahorro utilizado.Individual´s decisions regarding their retirement savings has usually been theoretically approached under the hypothesis that the Social Security System works as a substitute to other savings mechanisms. This document presents empirical evidence of the determinants and patterns of savings for retirement using information from the Integrated Household Survey (GEIH 2007). Our results show that 63% of employed individuals actually declare that they are not using any saving mechanism towards their retirements. By using discrete selection models we find that those employed individuals who show lower probabilities of making retirement savings are young ones, with male gender, who live in rural areas, and are self-employed.ahorro, pensiones, seguridad social, ciclo de vida, modelos de selección discreta, Colombia, savings, retirement funds, social security, life cycle, discrete selection models

The cyclical behavior of bank capital buffers in an emerging economy: size do matters

Using a panel of Colombian banks and quarterly data between 1996:1 and 2010:3, we study the relationship between short-run adjustments in bank capital buffers and the business cycle. We follow a partial adjustment framework and control for several variables that have been identified as important determinants of bank capital buffers in previous studies, and find that bank capital buffers vary overthe business cycle. We are able to identify a negative co-movement of capital buffers and and the business cycle. However, we also find that capital buffers of small and large banks behave asymmetrically during the business cycle. While the former appear to be constant over time, once the appropriate set of control variables is used, the latter present a countercyclical behavior. Our results suggest the possible need of the implementation of regulatory policy measures in developing countries.Bank capital bu§ers; Credit risk; Regulation; Colombia