Temporary and Permanent Components of Colombia's Output

Structural time series models, frequency domain analysis, the HP-filetr, and the Blanchard-Quah decomposition, are used to observe, some peculiarities of the business cycle. Such properties are those related the volatility of the temporary component and the duration of the business cycle during both 1925-1994 and 1950-1994. For the longer period we find that cycles between three and six years seem to be the most important for the variability of output; volatility is greater for GDP than for per capita GDP, except when the processes are linearly detrended. For period 1950-1994. GDP, except when the processes are linearly detrended. For period 1950-1994. Although the linear trend plus cycle model does not perform very well, cycles of about eight years seem to be most important for the cycle. The results of the Blanchard and Quah decomposition show that demand shocks have important explanatory attributes for output fluctuations. However, supply shocks, are dominant in the behaviour of output.

Some Univariate Time Series Properties of Output

This paper deals with the size of the random walk property of Colombia's output in two periods 1925-1994 and 1950-1994. GDP and GDPPC were both found to be integrated of order one a result which is very well known. The sequences are highly persistent, specially in the period 1950-1994. The forecast error when an innovation of 1 percent enters into the economy is about 1.5 percent in the very long run, when GDP is considered. The response is about 1.3 percent in the case of GDPPC, which seems to give support to the idea that population growth is a source of nonstationarity in some macroeconomic aggregates. For the larger sample(1925-1994) persistence is less. This result could cast some doubt on the method of estimation of GDP for the period 1925-1950. Finally, evidence of nonlinearity is found only in Hodrick- Prescott filtered variables dated between 1925 and 1994. This leaves open the question about whether the HP filter introduces nonlinearity in the hight frequency variable that it generates.Unit roots, persistence, nonlinearities, logistic function, ESTAR and, LSTAR. models.

A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt

In this paper we check the relationschip between the yields of the Colombian bonds traded in the (secondary) internal market and the yields of the sovereign global securities for the sample period 1999-2001. The hypothesis we maintain is that, under the assumption of capital mobility, it should exist a comovement between the two yields that we effectively find. However, the results suggest that capital mobility is much less than perfect. By invoking concepts of immunization and duration we find evidence of a TAR adjustment cointegration between the two yields plus a constant risk premium for bond with maturity in 2003 and a symmetric adjustment cointegration between the yields of securities with maturity in 2004. Since the assets are issued by the same issuer (the Colombian Government) the country or credit risk is the same for the bonds we consider that the risk premium is purely connected to currency risks: exhange- rate and inflation risks. Key words: yield, interest parity, capital mobility, nonlinearities, cointegration, threshold adjusment.

Some Evidence of Smooth Transition Nonlinearity in Colombian Inflation

Evidence of smooth transition autoregressive (STAR) representations is found in two, out of three, time series of different measures of annual inflation in Colombia during this decade for monthly data. The STAR-type nonlinearities are asymmetric for inflation computed as the variation of CPI while for (a measure of) core inflation are symmetric. Thus, LSTAR and ESTAR models were, respectively, estimated. No evidence of nonlinearity is found for traded goods inflation. Given the local dynamic properties of the estimated LSTAR model, only positive shocks to prices could shift negative accelerating inflation rate from the upper to the lower regime. By the same token, only stochastic shocks can move the core accelerating inflation rate from the outer regime to the middle one but the explosive nature of this regime will impulse accelerating inflation rate to the outer one.nonlinearity, core inflation, regimes, logistic and exponential transition functions.

Labor Participation of Married Women in Colombia

A pseudo-panel was built to estimate the determinants of the labor participation decision of married women between 1984 and 2000. Past participation decisions, education level, labor income taxes, children between 1 and 2 years of age, and the presence of other people unemployed at home are the main explanatory variables of married women’s labor participation in Colombia . The interest rate variable does not offer any insight into that decision.married women, labor participation, state-dependence, fertility.

The Time-Varying Long-Run Unemployment Rate: The Colombian Case

The long-run component of the Colombian unemployment rate is estimated for the last twenty years. According to the results, the main determinants of the permanent component of the unemployment rate are the real hourly wage, the non-wage labor costs and the rate of capital accumulation. Given the statistical properties of the variables, a cointegration approach was adopted.Unemployment rate, labor costs, capital accumulation, cointegration

Unemployment Rate and the Real Wage Behavoir: A Neoclassical Hint for the Colombian Labor Market Adjustment

The colombian urban unemployment rate grew dramatically over the last six years. At the same time the real wage also had a sharp increase: The empirical evidence supports the hypothesis that an exogenous increase in the real wage was a cause of the unemployment growth. The long-run elasticity suggest that one percent increase of the real wage index increases unemployment rate something between 0.7 and 1.0 percent. Therefore it seems necessary that real wage comes back to its equilibrium path for the reduction of the unemployment rate to the natural level.Unemployment rate, real wage, cointegration, long-run elasticities.

Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models

The study of the asymmetric behavior of macroeconomic variables over the business cycles phases has had a long tradition in economics. In this work we find evidence in favor of the hypothesis of having a Star-type nonlinear asymmetric behavoir of the economy activity, over the last two decades, in four Latin American countries: Brazil, Chile, Colombia and Mexico. For Venezuela the null hypothesis of a linear process could not be rejected under the method placed by Granger and Terasvirta (1993). Economic activity is proxied by monthly based industrial production indexes. Except for the case of Mexico we arrive to asymmetric representations of the processes. However, evidence of asymmetric behavoir is found according to the impulse response function analysis for all the countries.Real industrial production index, nonlinearties, STAR models, impulse responses

Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market

This work presents some evidence of the nonlinear and inverse relationschip between the share prices on the Bogotá stock market and the interest rate as measured by the interbank loan interest rate, which is to some extent affected by monetary policy. The model captures the stylised fact on this market of higt dependence of returns in short market in Colombia. Evidence of a non constant equity premium is also found. The work uses daily data from january 1994 up to February 2000.nonlinearities, stock returns, interest rate, smooth transition regression, GARCH models.

Trends, Fluctuations, and Determinants of Commodity Prices

A threefold analysis of commodity prices is carried out to observe their long-run behaviour, their short-run properties and the main determinants. According to the evidence, the Prebisch-Singer hypothesis does not seem to be a property of most prices. The cycles of commodity prices are asymmetric but contrary to the case of economic activity, the longer phase corresponds to slumps. Interest rates seem to maintain a negative relationship with commodity prices.Commodity prices, real interest rates, Prebisch-Singer hypothesis, short-run behaviour. Classification JEL: E3; E32; F4; O13; O47; Q11.