Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate

This document reviews and applies recently developed techniques for Bayesian estimation and model selection in the context of Time Series modeling for Stochastic Volatility. After the literature review on Generalized Conditional Autoregressive models, Stochastic Volatility models, and the relevant results on Markov Chain Monte Carlo methods (MCMC), an example applying such techniques is shown. The methodology is used with a series of Weekly Colombian-USA Exchange Rate on seven different mod els. The GARCH model, which uses Type-IV Pearson distribution, is favored for the selecting technique, Reversible Jump MCMC, over other models, including Stochastic Volatility Models with a Student-t distribution.

An Introductory Review of a Structural VAR-X Estimation and Applications

This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by bayesian and maximum likelihood methods is presented. Applications of the structural VAR-X for impulse response functions to structural shocks, multiplier analysis of the exogenous variables, forecast error variance decomposition and historical decomposition of the endogenous variables are also described, as well as a method for computing HPD regions in a bayesian context. Some of the concepts are exemplified with an application to US data.S-VAR, B-VAR, VAR-X, IRF, FEVD, Historical Decomposition. Classification JEL: C11, C18, C32.

INTEREST RATE PASS-THROUGH IN COLOMBIA: A MICRO-BANKING PERSPECTIVE

Banks and other credit institutions are key players in the transmission of monetary policy, especially in emerging market economies, where the responses of deposit and loan interest rates to shifts in policy rates are among the most important channels. This pass-through depends on the conditions prevailing in the loan and deposit markets, which are, in turn, affected by macroeconomic factors. Hence, when setting their policy, monetary authorities must take into account those conditions and the behavior of banks. This paper illustrates this point by means of a theoretical micro-banking model and shows empirical evidence for Colombia suggesting that some aspects of the model might be relevant features of the transmission mechanism.Monetary Transmission Mechanisms, Interest Rate Pass-Through, Banking Classification JEL: G21; E43; E44; E52.

Interest Rate Pass-Through in Colombia: a Micro-Banking Perspective

Banks and other credit institutions are key players in the transmission of monetary policy, especially when the responses of deposit and loan interest rates to shifts in policy rates are among the most important channels. This pass-through depends on theMonetary transmission mechanisms, interest rate pass-through, banking

Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign exchange and inflation regimes affect the degree of pass-through is evaluated. The analytical framework used was a mark-up model. The main finding is that the long-run pass-through elasticities for the industries in the sample are stable and go from 0.1 to 0.8 and the short-run ones are unstable and go from 0.1 to 0.7, supporting mark-up hypotheses, in contrast to the hypotheses of perfect market competition and complete pass-through. The findings also show evidence of the variability and different degrees of pass-trough among manufacturing sectors, which confirm the importance of using dynamic models and disaggregate data for an analysis of the pass-through. Both, the hypothesis that under a floating regime there is a low degree of pass-through and the hypothesis that a low inflation environment has the same result are not supported.Pass-through effects; PPP;Imperfect competition;Floating regime;Low inflation environment;Fixed parameter model; Time-varying parameter model; Kalman filtering.

Effects of urban growth in a tourist town on the mountain San Carlos de Bariloche, Patagonia Argentina

Los procesos de crecimiento en las ciudades turísticas pueden variar según sus características; algunos estudios han demostrado que las ciudades intermedias están recibiendo más migrantes proporcionalmente que otras de mayor tamaño. Además, por efecto de la globalización Latinoamérica está recibiendo una mayor demanda de bienes y servicios urbanos, siendo esta una de las razones por las que esta tesis se ha enfocado en la ciudad patagónica de mayor crecimiento en las últimas décadas en Argentina, San Carlos de Bariloche. A lo largo de la tesis en Planeamiento Urbano y Regional (Facultad de Arquitectura, Universidad de Buenos Aires) han sido analizadas las condicionantes que llevaron a la conformación de esta ciudad. En tal sentido, se espera brindar aportes para una mejor planificación en este tipo de ciudades con un entorno natural atractivo, que permita su posible sostenibilidad a futuro, al evaluar los relevamientos físico-ambientales y sociales-espaciales (desde lo cuantitativo y cualitativo) en forma sistematizada, y comparativa en distintas escalas. Particularmente, se han considerado algunos de los espacios más demandados y que se encuentran actualmente en procesos de expansión, pero con distintas particularidades en la ocupación del suelo dentro de una ciudad turística.The growing processes in tourist cities can differ according to their characteristics; some studies have proven that intermediate cities are getting more migrants proportionally than larger ones. In addition, globalization effect in Latin America is causing a greater demand for urban goods and services, being one of the reasons why this thesis is focused on the Patagonian fastest growing city in the last decades, San Carlos de Bariloche. Along this thesis the conditioning factors which have lead to conform the city have been analysed. In this regard, it’s expected to provide input for better planning in these cities with an attractive natural environment, allowing their possible future sustainability, evaluating from the systematic and comparative survey (qualitative and quantitative) at different scales, especially considering some of the most popular spaces that are currently in process of expansion, but with different characteristics in land occupation for a tourist town

Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach

In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mean and “volatility smile” return functions using daily data. For the pre-interventions sample, we found a nonlinear expected return function and, surprisingly, a nonsymmetric “volatility smile”. These lack of linearity and symmetry are related to absolute returns above 1,5% and 1,0%, respectively. We also found that the “discretional interventions” did not shift the mean response function, but moved the expected returns along the line towards the required levels. In contrast, the “volatility smile” tends to increase in a non-symmetric way after accounting for “discretional interventions”. The Sep/29/2004 announcement does not seem to have had any effect on the expected conditional mean or variance functions, but the Dec/17/2004 announcement seems to be related to non-symmetric effects on the volatility smile. We concluded that the announcement of discretional intervention by the monetary authority was more efficient when time and amount were unannounced.Volatility Smile,

Artifact-Aware Analogue/Mixed-Signal Front-Ends for Neural Recording Applications

This paper presents a brief review of techniques to overcome the problems associated with artifacts in analog frontends for neural recording applications. These techniques are employed for handling Common-Mode (CM) Differential-Mode (DM) artifacts and include techniques such as Average Template Subtraction, Channel Blanking or Blind Adaptive Stimulation Artifact Rejection (ASAR), among others. Additionally, a new technique for DM artifacts compression is proposed. It allows to compress these artifacts to the requirements of the analog frontend and, afterwards, it allows to reconstruct the whole artifact or largely suppress it.Ministerio de Economía y Empresa TEC2016-80923-

A chaotic switched-capacitor circuit for characteristic CMOS noise distributions generation

A switched-capacitor circuit is proposed for the generation of noise resembling the typical noise spectral density of MOS devices. The circuit is based on the combination of two chaotic maps, one generating 1/f noise (hopping map) and the other generating white noise (Bernoulli map). Through a programmable weighted adder stage, the contribution of each map can be controlled and, thereby, the position of the corner frequency. Behavioral models simulations were carried out to prove the correct functionality of the proposed approach.Ministerio de Economía y Competitividad TEC2016-80923-

Effects of Reserve Requirements in an Inflation Targeting Regime: The Case of Colombia

The Colombian economy and financial system have coped reasonably well with the effects of the global financial crisis. Hence, "unconventional" policy measures have not been at the center of the policy decisions and discussions. Nominal short term interest rates have remained the main monetary policy tool and "Quantitative easing" measures have not been central in the policy response. The one "unconventional" monetary instrument used by the Central Bank in Colombia has been changes in reserve requirements (RR) on financial system deposits. Interestingly, they were adopted before the global financial crisis, as a reaction to domestic credit conditions. The effects of RR on interest rate and interest rate pass-through in an inflation targeting regime are not as straightforward as those under a monetary targeting regime. Conceptually, those effects depend on the degree of substitution between deposits and central bank credit as sources of funds for banks and on the extent to which RR changes affect the risks facing banks. The empirical results for Colombia suggest that RR are important long run determinants of business loan interest rates and have been effective in strengthening the pass-through from policy to deposit and lending interest rates.Reserve Requirements, Inflation Targeting, Interest rate pass-through. Classification JEL: E51, E52, E58, G21.