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.

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

The Competing Risks of Acquiring and Being Acquired: Evidence from Colombia´s Financial Sector

This paper studies the determinants of the probability of participating in a process of merging or acquisition for financial institutions in Colombia. We use survival analysis techniques and competing risks models to estimate the probability of participating in such processes as an acquiring or acquired firm. Using an especially rich database containing financial information of Colombian banks for the period 1990 - 2007, we find that both macroeconomic and microeconomic variables are important determinants of such probability. However, there are differential effects for the acquiring firm and the acquired firm. Particularly, while firm size and solvency result significant determinants of the probability of being an acquiring firm, efficiency is an important determinant of the probability of being acquired. Also, the concentration index, that plays no role for acquiring firms, plays an important role in the probability of being acquired.Survival analysis; competing risk models; Colombia

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

Efectos de la reforma laboral: ¿más trabajo y menos empleos?

La Reforma Laboral de 2002 apuntó a dos objetivos específicos: implementación de mecanismos de protección social flexibilización laboral. En este documento se analizan algunos de sus efectos haciendo énfasis en la variación de las modalidades de contratación, los cambios en las horas de trabajo demandadas y los efectos en la duración del desempleo. De este análisis se concluye que la Reforma tuvo un efecto intensivo en generar mayor demanda de horas de trabajo pero que sólo tuvo un efecto marginal en la generación de empleo. Por otra parte, la duración del desempleo se redujo en el agregado.********The 2002 Labor Reform was Ahmed to two specific purposes: implementation of social protection measures and labor law flexibilization. On this document we analyze some of the effects of the Reform, with specific emphasis on the potential changes on labor contract modalities, working hours and unemployment duration. From our analysis we conclude that the Reform had an intensive effect (higher demand of working hours) yet it only had a marginal effect over employment. It reduced unemployment duration as well.reforma laboral, desempleo, fuerza de trabajo

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.

Calificaciones de riesgo país y crisis financieras 1995-2001: un análisis de supervivencia

La dinámica del sistema financiero es una señal de crecimiento económico, por lo tanto es un indicador clave para los inversionistas. Por lo tanto, uno de los principales retos de la política económica es mantener la estabilidad así como proteger el sistema financiero de los fenómenos externos. La actividad financiera y la actividad económica son en general susceptibles a las crisis y dicho riesgo puede medirse a partir de la calificación de deuda de largo plazo. A través de esta variable proponemos aplicar el análisis de sobrevivencia, para explorar la duración de las caídas en la calificación de riesgo y la capacidad de variables macroeconómicas para predecirlas. Con ello se encontraron diferencias importantes en las economías desarrolladas y emergentes, teniendo en cuenta variables de riesgo cambiario y endeudamiento de la economía.Financial system’s health is a signal of economic growth therefore it is a key indicator to investors. As a consequence, one of the main purposes of policymakers is to keep its stability as well as protect it from foreign activity. Both financial and economic activity in general are susceptible of crises, as soon as this happen a country may face default risk, which can be measured with long term debt risk rating of countries. Through this variable we propose the use the survival analysis methodology, to analyze falls rating duration and capability of macroeconomic variables to predict that event. From the analysis, we point out important differences between developed and emerging economies, with variables which stand out exchange risk and economies indebtedness

Determinantes de las fusiones y adquisiciones en el sistema financiero colombiano. 1990-2007

El sistema financiero colombiano ha sufrido cambios importantes en las últimas décadas. Un período de expansión seguido de una profunda crisis económica repercutieron de manera importante en la estructura y concentración de este mercado. Se ha analizado de manera amplia el efecto de la quiebra y la fusión de las instituciones financieras; sin embargo no se ha hecho un estudio microeconométrico para determinar los determinantes de este tipo de operaciones. Este documento se concentra en determinar cuales son las variables claves que incentivan la participación de las instituciones financieras colombianas en operaciones de integración, mediante la estimación de modelos de duración y el uso de variables microeconómicas de desempeño de las instituciones financieras y variables macro que reflejan el nivel de concentración del mercado y el desempeño de la economía.Fusiones y adquisición, integración, sector financiero, modelos de duración. Classification JEL: G2; G3; C2.

Beyond the mincer equation: the internal rate of return to higher education in Colombia

In order to present an estimation of the Internal Rate of Return (IRR) to higher education in Colombia we take advantage of the methodological approach provided by Heckman, Lochner and Todd (2005). Trying to overcome the criticism that surrounds interpretations of the education coefficient of Mincer equations as being the rate ofreturn to investments in education we develop a more structured approach of estimation, which controls for selection bias, includes more accurate measures of labor income and the role of education costs and income taxes. Our results implied a lower rate of return than the ones found in the Colombian literature and show that the Internal Rate ofReturn for higher education in Colombia lies somewhere between 0.074 and 0.128. The results vary according to the year analyzed and individual´s gender. This last result reinforces considerations regarding gender discrimination in the Colombian labor market.Education returns, Mincer Equation, Internal Rate of Return, Colombia