3 research outputs found
The Productivity Gap in Latin America: Lessons from 50 Years of Development
This paper combines development accounting exercises with economic theory to assess the importance of total factor productivity and the accumulation of factors of production as engines of growth in Latin America. Using the new, drastically revised Penn World Table (PWT) and Barro-Lee datasets, the paper shows that lower and non-convergent income relative to successful development benchmarks are explained by subpar productivity gains rather than slower factor accumulation. The empirical analysis of the interplay between productivity and accumulation in the process of development suggests that one explanation for this pattern is that investment in Latin America is not as productivity-enhancing as in less distorted economies
Indicadores de alerta temprana de crisis cambiarias y bancarias: el caso colombiano
Este trabajo aplica un sistema de alerta temprana de crisis cambiarias y bancarias para Colombia, siguiendo una versiĂłn alternativa de la metodologĂa propuesta por Kaminsky, Lizondo y Reinhart (1998). Las modificaciones hechas a la metodologĂa original son significativas en la medida en que se altera la tĂ©cnica de dataciĂłn de las crisis bancarias y cambiarias, la cual es el nĂşcleo de un sistema de alerta temprana. Básicamente, el modelo propuesto toma en cuenta los problemas de colinealidad y no normalidad en los Ăndices de turbulencia cambiaria y bancaria, para de esa manera generar un sistema de alerta temprana más robusto para el caso colombiano. / Abstract. This document makes an application to Colombia of an early warning system for currency and banking crises, following an alternate version of the methodology proposed in Kaminsky, Lizondo and Reinahrt (1998). The changes done to the methodology are important as the crises dating technique, which is the early warning system’s core, is altered. Basically, the proposed model takes into account the collinearity and non-normality problems in the exchange and banking markets pressure indexes in order to generate a more robust early warning system for the colombian case.MaestrĂ
SABR : a stochastic volatility model in practice
Treball fi de mĂ ster de: Master's Degree in Economics and FinanceDirectora: Elisa AlòsThe Black and Scholes model (BS) assumes that the volatility of an asset is constant over the trading period. As a result, BS returns a flat volatility surface. This assumption fails to capture the asset’s volatility dynamics (smile), which is particularly important if we want to price complex derivatives. Local Volatility (LV) models captures the volatility smile, but not the price dynamics. In this project, we study the SABR (Stochastic Alpha, Beta, Rho) model, a stochastic volatility (SV) model designed to describe the implied volatility (IV) surface capturing both the smile and price dynamics. We calibrate its parameters, compute the IV using its closed-form solution and Monte Carlo Methods (MCM), and compare our results with real market data. Finally, we discuss our results and their implementations to practitioners.La fĂłrmula de Black y Scholes (BS) asume que la volatilidad de un activo es constante durante el periodo de negociaciĂłn. En consecuencia, la superficie de volatilidad con BS es plana. Este supuesto falla en capturar la dinámica de la volatilidad (sonrisa), la cual es particularmente importante para determinar precios de derivados complejos. Los modelos de Volatilidad Local capturan la sonrisa de la volatilidad, pero no asĂ la dinámica adecuada de los precios. En este trabajo estudiamos el modelo SABR (Alfa, Beta y Rho Estocástico), un modelo de Volatilidad Estocástica diseñado para describir la Superficie de Volatilidad ImplĂcita (VI) capturando tanto la sonrisa como la dinámica de los precios subyacentes. Calibramos los parámetros del modelo, estimamos la VI usando tanto su fĂłrmula cerrada como MĂ©todos de Monte Carlo, y comparamos nuestros resultados con datos de mercado. Finalmente, discutimos las implicaciones de los resultados para los profesionales de la industria