nep-fmk New Economics Papers
on Financial Markets
Issue of 2006‒08‒19
37 papers chosen by
Carolina Valiente
London South Bank University

  1. Heterogeneity in lending and sectoral growth : evidence from German bank-level data By Buchm, Claudia M.; Schertler, Andrea; von Westernhagen, Natalja
  2. Does diversification improve the performance of German banks? : Evidence from individual bank loan portfolios By Hayden, Evelyn; Porath, Daniel; von Westernhagen, Natalja
  3. Credit risk mitigation in central bank operations and its effects on financial markets - the case of the Eurosystem By Ulrich Bindseil; Francesco Papadia
  4. Explaining time to bank failure in Colombia during the financial crisis of the late 1990s By Jose E. Gomez-Gonzalez; Nicholas M. Kiefer
  5. Implications for liquidity from innovation and transparency in the European corporate bond market By Marco Laganá; Martin Perina; Isabel von Köppen-Mertes; Avinash Persaud
  6. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility By Eric Hillebrand; Gunther Schnabl; Yasemin Ulu
  7. Evidence of Bank Lending Channel for Argentina and Colombia By José Gómez González; Fernando Grosz
  8. Estimation of the Default Risk of Publicly Traded Canadian Companies By Georges Dionne; Sadok Laajimi; Sofiane Mejri; Madalina Petrescu
  9. Tailoring Compliance Risk and the Compliance Function for Non-Financial Organizations (A step further and beyond the Basel´s Proposal for Banks) By Rodolfo Apreda
  10. Utility-based Pricing of the Weather Derivatives By Helene Hamisultane
  11. Do Workers Remittances Reduce the Probability of Current Account Reversals? By Matteo Bugamelli; Francesco Paternò
  12. Collateral Restrictions and Liquidity Under-Supply: A Simple Model By Ana Fostel; John Geanakoplos
  13. Valuation of financial assets using montecarlo: when the world is not so normal By MAYA O. Cecilia
  14. Herd Behavior in Efficient Financial Markets By Andreas Park; Hamid Sabourian
  15. The Theory of Money and Financial Institutions: A Summary of a Game Theoretic Approach By Martin Shubik
  16. Pricing Options under Telegraph Processes By RATANOV, Nikita
  17. Mergers and Acquisitions in the Colombian Financial Sector (Impact on Efficiency 1990 – 2005) By Sergio Clavijo; Carlos I. Rojas; Camila Salamanca; Germán Montoya
  18. A firm-level analysis of small and medium size enterprise financing in Poland By Klapper, Leora; Sarria-Allende, Virginia; Zaidi, Rida
  19. Financial Constraints and Continental Business Groups : Evidence from German Konzerns By Dorothea Schäfer; Yuriy Gorodnichenko; Oleksandr Talavera
  20. Assessing benefits of slum upgrading programs in second-best settings By Dasgupta, Basab; Lall, Somik V.
  21. The Role of the IMF in Well-Performing Low-Income Countries By Steve Radelet
  22. Response of Venezuelan output to monetary policy, deficit spending, and currency depreciation: a VAR model By HSING, Yu
  23. Los agentes esperan reducción de los spreads de la deuda By FEDESARROLLO
  24. The U.S. External Deficit and the Developing Countries By William R. Cline
  26. ¿Podrá afectarse el sector real por la turbulencia en los mercados financieros? By FEDESARROLLO
  27. Retornan las expectativas de apreciación del peso By FEDESARROLLO
  29. Aumentan las expectativas de inflación y depreciación By FEDESARROLLO
  30. Asymmetric Information about Rivals’ Types in Standard Auctions: An Experiment By James Andreoni; Yeon-Koo Che; Jinwoo Kim
  31. Buenas perspectivas para 2006 y 2007 By FEDESARROLLO
  32. Contract Enforcement, Institutional Stability, and the Level and Maturity of International Debt By Wasseem Mina; Jorge Martinez-Vazquez
  33. La importancia de la información en los mercados de crédito By FEDESARROLLO
  34. Triunfo acertado del pragmatismo By FEDESARROLLO
  35. Reforma Financiera: Una iniciativa pendiente By FEDESARROLLO
  36. Registros crediticios: un problema en vías de solución By FEDESARROLLO
  37. Insolvency plan, options approach and loss carry forwards under German insolvency law By Drukarczyk, Jochen; Schöntag, Stefanie

  1. By: Buchm, Claudia M.; Schertler, Andrea; von Westernhagen, Natalja
    Abstract: This paper studies the sectoral and geographical dimensions of the response of bank lending to sectoral growth. We use several bank-level datasets provided by the Deutsche Bundesbank for the 1996-2002 period. Our results show that bank heterogeneity affects how lending responds to domestic sectoral growth. We document that banks’ total lending to German firms reacts procyclically to domestic sectoral growth, while lending exceeding a threshold of €1.5 million to German and foreign firms does not. Moreover, we find that the response of lending depends on bank characteristics such as the banking groups, the banks’ asset size, and the degree of sectoral portfolio concentration. We find that total domestic lending by savings banks and credit cooperatives (including their regional institutions), smaller banks, and banks whose portfolios are heavily concentrated in specific sectors responds positively and, in relevant cases, more strongly to domestic sectoral growth.
    Keywords: bank lending, heterogeneity, sectoral growth
    JEL: F3 G21
    Date: 2006
  2. By: Hayden, Evelyn; Porath, Daniel; von Westernhagen, Natalja
    Abstract: Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore, greater safety for banks, as traditional portfolio and banking theory would suggest? This paper investigates the link between banks’ profitability (ROA) and their portfolio diversification across different industries, broader economic sectors and geographical regions measured by the Herfindahl Index. To explore this issue, we use a unique data set of the individual bank loan portfolios of 983 German banks for the period from 1996 to 2002. The overall evidence we provide shows that there are no large performance benefits associated with diversification since each type of diversification tends to reduce the banks’ returns. Moreover, we find that the impact of diversification depends strongly on the risk level. However, it is only for moderate risk levels and in the case of industrial diversification that diversification significantly improves the banks’ returns.
    Keywords: focus, diversification, monitoring, bank returns, bank risk
    JEL: G21 G28 G32
    Date: 2006
  3. By: Ulrich Bindseil (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany); Francesco Papadia (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany)
    Abstract: This paper reviews the role and effects of the collateral framework which central banks, and in particular the Eurosystem, use in conducting temporary monetary policy operations. First, the paper explains the design of such a framework from the perspective of risk mitigation, which is the purpose of collateralisation. The paper argues that, by means of appropriate risk mitigation measures, the residual risk on any potentially eligible asset can be equalised and brought down to the level consistent with the risk tolerance of the central bank. Once this result has been achieved, eligibility decisions should be based on an economic cost-benefit analysis. Second, the paper looks at the effects of the collateral framework on financial markets, and in particular on spreads between eligible and ineligible assets.
    Date: 2006–08
  4. By: Jose E. Gomez-Gonzalez; Nicholas M. Kiefer
    Abstract: This paper identifies the main bank specific determinants of time to failure during the financial crisis in Colombia using duration analysis. Using partial likelihood estimation, it shows that the process of failure of financial institutions during that period was not a merely random process; instead, it can be explained by differences in financial health and prudence existing across institutions. Among the relevant indicators that explain bank failure, the capitalization ratio appears to be the most significant one. Increases in this ratio lead to a reduction in the hazard rate of failure at any given moment in time. Of special relevance, this ratio exhibits a non-linear component. Other important variables explaining bank failure dynamics are profitability of assets and the ratio of non-performing loans to total loans. Leverage appears to affect the hazard rate also, but with lower statistical significance.
    Keywords: Banks, financial institutions; Bankruptcy, liquidation; Colombia.
    JEL: G21 G23
  5. By: Marco Laganá (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Martin Perina (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Isabel von Köppen-Mertes (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Avinash Persaud (Intelligence Capital Limited, 145-147 St. John Street, London EC1V 4PY, United Kingdom)
    Abstract: This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific. Systemic liquidity, i.e. liquidity in “stressed” times, is driven by the homogeneity of investors - the degree to which one’s decision to sell is related to the decision to sell made by other market players at the same time. Systemic liquidity is specific to market participants’ behaviour. This framework proves fairly powerful in identifying the role of credit derivatives and transparency for liquidity of corporate bond markets. We have applied it to the illiquid segments of the European credit market and found that credit derivatives are likely to improve search liquidity as well as systemic liquidity. However, it is possible that in their popular use today, credit derivatives reinforce a concentration of positions that can worsen systemic liquidity. We also found that post-trade transparency has surprisingly little bearing on liquidity in that where it improves liquidity it is merely acting as a proxy for pre-trade transparency or transparency of holdings. We conclude that if liquidity is the objective, pre-trade transparency, as well as some delayed transparency on net exposures and concentrations, is likely to be more supportive of both search and systemic liquidity than post-trade transparency. JEL Classification: G14, G15, G18.
    Keywords: Financial market functioning, liquidity, transparency, credit markets and financial innovation.
    Date: 2006–08
  6. By: Eric Hillebrand; Gunther Schnabl; Yasemin Ulu
    Abstract: We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that during the period 1995 through 1999, interventions of the Japanese monetary authorities did not have the desired effect with respect to the exchange rate level and we measure an increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with successful interventions, both in depreciating the yen and in reducing exchange rate volatility.
    JEL: C32 E58 F31 F33 G15
    Date: 2006
  7. By: José Gómez González; Fernando Grosz
    Abstract: In this paper we find empirical evidence of bank lending channel for Colombia and Argentina. As for Argentina, we do not find evidence that changes in the interbank interest rate affect the growth rate of total loans directly. However, it does indirectly through interactions: the interbank interest rate affects the loan supply through its interactions with capitalization and liquidity. As for Colombia, there is direct bank lending channel, which is reinforced through interactions with capitalization and liquidity. Also, using a panel data of more than 3300 firms, we provide additional support to the existence of a bank lending channel for Colombia.
    Keywords: Monetary Transmission; Bank Lending Channel; Argentina; Colombia
    JEL: E5 E52 G21
  8. By: Georges Dionne; Sadok Laajimi; Sofiane Mejri; Madalina Petrescu
    Abstract: Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Merton's structural model has the benefit of being responsive, since the probabilities of default can continually be updated with the evolution of firms' asset values. Its main flaw lies in the fact that it may over- or underestimate the probabilities of default, since asset values are unobservable and must be extrapolated from the share prices. Altman's nonstructural model, on the other hand, is more precise, since it uses firms' accounting data-but it is less flexible. In this paper, the authors investigate the hybrid contingent claims approach with publicly traded Canadian companies listed on the Toronto Stock Exchange. The authors' goal is to assess how their ability to predict companies' probability of default is improved by combining the companies' continuous market valuation (structural model) with the value given in their financial statements (non-structural model). The authors' results indicate that the predicted structural probabilities of default (PDs from the structural model) contribute significantly to explaining default probabilities when PDs are included alongside the retained accounting variables in the hybrid model. The authors also show that quarterly updates to the PDs add a large amount of dynamic information to explain the probabilities of default over the course of a year. This flexibility would not be possible with a non-structural model. The authors conduct a preliminary analysis of correlations between structural probabilities of default for the firms in their database. Their results indicate that there are substantial correlations in the studied data.
    Keywords: Debt management; Credit and credit aggregates; Financial markets; Recent economic and financial developments; Econometric and statistical methods
    JEL: G21 G24 G28 G33
    Date: 2006
  9. By: Rodolfo Apreda
    Abstract: This paper contends that compliance risk and the compliance function are powerful devices to enhance corporate governance not only in banks but in any other organization as well. Firstly, it reviews the contribution made by the Bank for International Settlements (BIS), which pertains to financial institutions only. Next, it upholds that compliance risk actually matters in any corporate governance environment. Afterwards, it deals with how the compliance function can be shaped so as to grant, on the one hand, its own independence and, on the other, clear-cut patterns of accountability behavior. Subsequently, it points out that there are some drawbacks in the BIS´choice of governance principles. Lastly, it brings forth a set of governance principles for both compliance risk and the compliance function in financial and non-financial organizations alike.
    Keywords: compliance risk, compliance function, accountability, corporate governance, banks governance, accountability.
    JEL: G30 G34 G38
    Date: 2006–08
  10. By: Helene Hamisultane (EconomiX, University of Nanterre)
    Abstract: Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei (2004) price them by using the consumption-based asset pricing model of Lucas (1978) and by assuming different values for the constant relative risk aversion coefficient. Instead of taking this coefficient as given, we suggest in this paper to estimate it by using the consumption data and the quotations of one of the most transacted weather contracts which is the New York weather futures on the Chicago Mercantile Exchange (CME). We will apply the well-known generalized method of moments (GMM) introduced by Hansen (1982) to estimate it as well as the simulated method of moments (SMM) attributed to Lee and Ingram (1991) and Duffie and Singleton (1993). This last method is studied since we think that it can give satisfactory results in the case of the weather derivatives for which the prices are simulated. We find that the estimated coefficient from the SMM approach must have improbably high values in order to have the calculated weather futures prices matching the observations. This finding is in accordance with the results of the prior works which have shown the empirical failures of the consumption-based asset pricing model.
    Keywords: weather derivatives, consumption-based asset pricing model, constant relative risk aversion utility function, generalized method of moments, simulated method of moments, HAC matrix, Monte-Carlo simulations, periodic variance, GARCH
    JEL: C51 C53 G13
    Date: 2006–07
  11. By: Matteo Bugamelli; Francesco Paternò
    Abstract: The paper combines the literature on financial crises in emerging markets and developing economieswith that on international migrations by investigating whether the increasingly large flows of workers'remittances can help reduce the probability of current account reversals. The rationale for this standsin the great stability and low cyclicality of remittances as compared to other private capital flows:these properties, combined with the fact that remittances are cheap inflows of foreign currencies,might reduce the probability that foreign investors suddenly flee out of emerging markets anddeveloping economies and trigger a dramatic current account adjustment. We find that remittancescan indeed have such a beneficial effect. In particular, we show that a high level of remittances, as aratio of GDP, makes the relationship between a decreasing stock of international reserves (over GDP)and a higher probability of current account crises less stringent. The same occurs, though less neatly,for the positive relationship between an increasing stock of external debt (over GDP) and theprobability of current account reversals. Our results point also to a threshold effect of remittances: themechanisms just described are, in fact, much stronger when remittances are above 3 percent of GDP.
    Keywords: current account reversals, workers’ remittances, international reserves, external debt
    JEL: F32 F36 J61 O1
    Date: 2006–02
  12. By: Ana Fostel (Dept. of Economics, George Washington University); John Geanakoplos (Cowles Foundation, Yale University)
    Abstract: We show that very little is needed to create liquidity under-supply in equilibrium. Credit constraints on demand by themselves can cause an under-supply of liquidity, without the uncertainty, intermediation, asymmetric information or complicated international financial framework used in other models in the literature. We show that the under-supply is a non-monotone function of the demand distortion that causes it, a result that may have interesting implications for emerging markets economies. Finally, when we make the credit constraint endogenous, the inefficiency can be large due to the presence of a multiplier.
    Keywords: Liquidity under-supply, Credit constraint, Non-monotonicity, Multiplier, Collateral equilibrium
    JEL: D51 E44 F30 G15
    Date: 2004–06
  13. By: MAYA O. Cecilia
    Abstract: Valuing financial assets when the world is not as normal as assumed by many financial models requires a method flexible enough to function with different distributions which, at the same time, can incorporate discontinuities such as those that arise from jump processes. The Monte Carlo method fulfills al these requirements, in adition to being accurate and efficient, which makes this numerical method the most suitable one in those cases that do not conform to normality. This paper applies monte Carlo to the valuation of financial assets, specifically financial options, when the underlying asset follows stochastic volatility or jump-diffusion processes.
    Date: 2004–09–01
  14. By: Andreas Park; Hamid Sabourian
    Abstract: Rational herd behavior and informationally efficient security prices have long been considered to be mutually exclusive but for exceptional cases. In this paper we describe conditions on the underlying information structure that are necessary and sufficient for informational herding. Employing a standard sequential security trading model, we argue that people may be subject to herding if and only if there is sufficient amount of noise and, loosely, their information leads them to believe that extreme outcomes are more likely than moderate ones. We then show that herding has a significant effect on prices: prices can move substantially during herding and they become more volatile than if there were no herding. Furthermore, herding can be persistent and can affect the process of learning. We also characterize conditions for contrarian behavior. Our analysis suggests that herding (and contrarian behavior) may be more pervasive than was originally thought. Hence, the paper provides a new perspective on herding in financial markets with efficient prices
    Keywords: Microstructure, Sequential Trades, Herding, Monotone Likelihood
    JEL: C70 D80 D83 D84 G12 G14
    Date: 2006–07–03
  15. By: Martin Shubik
    Date: 2006–08–11
  16. By: RATANOV, Nikita
    Abstract: In this paper we introduce a financial market model based on continuous time random motions with alternating constant velocities and jumps, which occur with velocity switches. Given that jump directions match velocity directions of the underlying random motion properly in relation to interest rates, in this setting will be free of arbitrage. Additionally, we suppose also the interest rate depending on the market state. The replicating strategies for options are constructed in detail, and closed form formulas for option prices are obtained.
    Date: 2005–04–01
  17. By: Sergio Clavijo; Carlos I. Rojas; Camila Salamanca; Germán Montoya
    Abstract: Colombia has witnessed a renewed interest in merging and acquiring financial institutions during 2003-2005. These have been “complementary mergers” that seek to exploit economies scale and scope. This process contrasts favorably with those mergers & acquisitions that occurred during the mid-1990s, which involved mainly “twin institutions” that lacked potential for gaining multiproduct efficiency. This document analyzes the need to remove some of the regulatory constraints that obstruct further exploitation of such economies of scale-scope and quantifies the “cost efficiencies” shown by the Colombian banking sector (1994-2005). At the aggregate level, we found (absolute) banking efficiency to be around 63%, a similar value to those found in related studies post-crisis. This implies that banks operating in Colombia have been able to recover their efficiency levels during postcrisis 2003-2005, except for mortgage institutions. We highlight regulatory barriers that could be removed to help the banking system move closer to the optimal production frontier.
    Date: 2006–07–31
  18. By: Klapper, Leora; Sarria-Allende, Virginia; Zaidi, Rida
    Abstract: The authors test competing theories of capital structure choices using firm-level data on firm borrowings. The majority of firms in the dataset are privately owned, young, micro or small and medium enterprise (SME) firms concentrated in the service sector. In general, the financing pattern of firms is low leverage ratios and, in particular, low levels of intermediated financing and long-term financing. Average firm growth rates decreased during the five years of the sample period. Average profitability growth ratios are also negative across age and sectors and large firms have the highest negative profit growth rates. Statistical tests find a positive firm size effect on financial intermediation. Larger firms have higher leverage ratios (both short term and long term), including higher use of trade credit. There is also a negative influence of profitability on leverage ratios (more profitable firms use less external financing), which supports the " pecking order " theory that in environments with greater asymmetric information (such as weaker credit information) firms prefer to use internal or inter-firm financing. Finally, firms operating in a competitive environment have higher leverage ratios. For instance, young, small firms are the most active employment generators in the Polish economy. In particular, the authors find that although SMEs seem to be very active in creating jobs in recent years. This suggests that a new type of firm is emerging that is more market and profit-oriented. But at the same time, these firms appear to have financial constraints that impede their growth. Improvements in the business environment, such as better credit and registry information, could help promote growth in this sector.
    Keywords: Small Scale Enterprise,Microfinance,Economic Theory & Research,Investment and Investment Climate,Financial Intermediation
    Date: 2006–08–01
  19. By: Dorothea Schäfer; Yuriy Gorodnichenko; Oleksandr Talavera
    Abstract: Using a unique, large panel of German firms, we examine whether participation in business groups reduces the sensitivity of investment to cash flow. The main finding is that the reduction in the sensitivity is small for small firms and negligible for medium and large firms. We argue that by virtue of the continental business model, gains from business groups should be in better contract enforcement and coordination rather than in internalizing capital markets.
    Keywords: concern, business group, investment, liquidity constraints.
    JEL: G32 G34
    Date: 2006
  20. By: Dasgupta, Basab; Lall, Somik V.
    Abstract: Slum upgrading programs are being used by national and city governments in many countries to improve the welfare of households living in slum and squatter settlements. These programs typically include a combination of improvements in neighborhood infrastructure, land tenure, and building quality. In this paper, the authors develop a dynamic general equilibrium model to compare the effectiveness of alternative slum upgrading instruments in a second-best setting with distortions in the land and credit markets. They numerically test the model using data from three Brazilian cities and find that the performance of in situ slum upgrading depends on the severity of land and credit market distortions and how complementary policy initiatives are being implemented to correct for these problems. Pre-existing land supply and credit market distortions reduce the benefit-cost ratios across interventions, and change the rank ordering of preferred interventions. In the light of these findings, it appears that partial equilibrium analysis used in typical cost-benefit work overstates the stream of net benefits from upgrading interventions and may in fact propose a misleading sequence of interventions.
    Keywords: Banks & Banking Reform,Urban Housing,Urban Slums Upgrading,Urban Services to the Poor,Economic Theory & Research
    Date: 2006–08–01
  21. By: Steve Radelet
    Abstract: The IMF began to play a prominent role in low-income countries in the late 1970s and 1980s when many countries faced overvalued exchange rates, growing budget deficits, high inflation, and low reserves. But times have changed, and many low-income countries no longer face these problems and do not need classic IMF programs. This paper explores options for the role of the IMF in well-performing low-income countries that no longer require IMF financing. It argues that in these countries the IMF should use more non-funded programs, and it should play a much less dominant role in overall conditionality. These countries should be able to focus more on achieving high-priority development goals that are outside the expertise of the IMF, such as in health, water, education, private sector development, and agriculture. While playing a less prominent role, the Fund should continue to be engaged in helping countries to maintain an appropriate macroeconomic framework. For some countries, a non-funded program like the new Policy Support Instrument (PSI) would be appropriate, while others could shift further to a program of surveillance and monitoring. In well-performing countries the Fund should provide public ratings on macroeconomic policy, ideally fully incorporated into the World Bank’s CPIA rating system.
    Keywords: IMF, exchange rate, budget deficit, inflation, reserves, conditionality
    JEL: F0 F4 O0 E0 E4 E43
    Date: 2006–02
  22. By: HSING, Yu
    Abstract: This study applies the VAR model to find possible responses of real GDP to selected macroeconomic variables in Venezuela. Based on an annual sample during 1961 - 2001, the author finds that the real GDP responds positively to a shcock to real M2 , goverment déficit spending, exchange rate depreciation, and the lagged output and negatively to a shick to the inflation rate during some of the time periods. Except for the lagged output, government deficit spending and the inflation rate are the most influential variable in the first year, and real M2 and the real exchange rate are more influential and have longer - term after the first year.
    Date: 2004–10–01
    Abstract: Se acentúan las expectativas de reducción de la inflación y de apreciación del peso colombiano. Administradores de portafolio esperan una reducción en el spread de la deuda durante los próximos seis meses. Los TES de corto plazo y los bonos indexados a la DTF se posicionan como los activos más apetecidos El Índice de Aversión al Riesgo continúa en niveles bajos.
    Date: 2006–03–07
  24. By: William R. Cline
    Abstract: In the absence of US fiscal adjustment and a further correction of the dollar, the current account deficit is headed to $1.3 trillion by 2010 (8 to 8.5 percent of GDP) and net US foreign liabilities to over $8 trillion (50 percent of GDP). According to CGD/IIE Senior Fellow William R. Cline, the rising trade deficit and associated borrowing from abroad are now financing a decline in personal saving and a rise in the government deficit. This imbalance will increasingly put the US economy—and the developing countries—at risk. This working paper focuses on the impact that the US external deficit and a possible “hard landing” for the US and world economies will have on developing countries. Cline finds that these countries are at risk since they have relied heavily on a continuing expansion of trade surpluses with the United States as a source of demand. Developing countries with high borrowing abroad are also doubly sensitive to a spike in world interest rates—once directly from higher US interest rates, and once indirectly through higher risk spreads—that might be associated with a hard landing. This Working Paper is based on The United States as a Debtor Nation, a book published in 2005 by the Center for Global Development and the Institute for International Economics.
    Keywords: trade deficit, personal savings, world economy, trade surplus
    JEL: E21 E0 E4 F4
    Date: 2006–03
  25. By: Ana María Tribín Uribe
    Abstract: Arnold Harberger en 1969 estimó la tasa de rendimiento de capital para Colombia. En su investigación desarrolló una metodología para calcular las variables relevantes que se necesitan para estimarla. Este trabajo replica la metodología de Harberger con datos recientes y encuentra el costo de oportunidad del capital para tres escenarios diferentes. En el primer escenario se toman los datos de las Cuentas Nacionales y de las Naciones Unidas y se desarrolla la metodología de Harberger, los resultados que se obtuvieron indican que la tasa de rendimiento al capital se ubica entre 8.1% y el 7.4%. En el segundo escenario se ajusta la tasa de depreciación, ya que Harberger explica que está sobre estimada y por tanto, se debe calcular de nuevo la tasa de rendimiento del capital haciendo un ajuste en las tasas de depreciación. Siguiendo los pasos de Harberger se modifica la tasa de depreciación y se encuentra que la tasa de retorno al capital se localiza entre 7.7% y 7.1%. Finalmente, debido a que la proporción de capital sobre el Producto Interno Bruto que se obtiene es muy alta relativa a los datos de Planeación Nacional, se construye un tercer escenario en que se decide utilizar una serie de capital alternativa, la cual modifica el valor estimado de la tasa de retorno al capital al ubicarla entre 11% y 10%.
    Keywords: Tasa de interés, La tasa de rendimiento de capital, Cuentas Nacionales.
    JEL: E01 E43
    Abstract: La reciente pérdida de valor de los portafolios de los diferentes intermediarios y de los fondos de pensiones significará un menor crecimiento del rubro de servicios de intermediación financiera. Sin embargo el efecto neto sobre el PIB no será significativo. La corrección en los precios de las acciones no tendrá un efecto importante sobre el desempeño del sector real. La desvalorización de los TES sí puede tener un mayor efecto macroeconómico, vía mayores tasas de interés de los créditos. Por fortuna, los indicadores económicos y las encuestas de Fedesarrollo señalan que la actividad del sector real es robusta y no se verá significativamente afectada por la turbulencia de los mercados financieros. De la CAN a una zona de libre comercio del Pacífico La política arancelaria común de la CAN está en proceso de erosión como consecuencia de acercamientos individuales de países andinos con socios ajenos a la región y el retiro de Venezuela. El regreso de Chile a la CAN constituye una oportunidad para dejar atrás las ataduras de la Unión Aduanera que nunca fue. Una Zona de libre comercio del Pacífico generaría mayor comercio, solucionaría los problemas de desviación de comercio derivados de los TLC y permitiría avanzar en la concertación política en la región. Sobre la volatilidad de los mercados financieros La turbulencia en los mercados financieros internacionales se debe al fin de la época de holgura monetaria y a la incertidumbre respecto al desempeño económico mundial, en particular, al crecimiento de Estados Unidos. Los inversionistas han aumentado su aversión al riesgo, corrigiendo su sobreexposición en economías emergentes, sin que esto esté basado en un deterioro de los fundamentales. Los mercados financieros colombianos se han afectado significativamente: el peso se devaluó de forma abrupta y las acciones y los títulos del gobierno perdieron valor drásticamente. Desde marzo, los administradores de portafolio consultados por la Encuesta de Opinión Financiera de la BVC y Fedesarrollo habían predicho el comportamiento de los principales mercados. En marzo, el 52% neto de administradores expresó su intención de reducir su posición en TES de largo plazo. Si bien el contexto internacional ha afectado notablemente las expectativas macroeconómicas de los administradores de portafolio (inflación, spreads y tasa de cambio), las expectativas de crecimiento económico continúan favorables. Encuesta de Opinión Financiera Los administradores de portafolio esperan incrementos en la tasa de inflación durante los próximos seis meses. Dadas las expectativas de inflación, los administradores de portafolio esperan que el Banco de la República aumente sus tasas de intervención. La incertidumbre presente en los mercados genera una mayor preferencia por TES de corto plazo. Encuesta de Confianza del Consumidor Los resultados de la Encuesta de Consumo señalan que el consumo de bienes durables se puede haber acelerado durante el segundo trimestre del año. Los indicadores calculados a partir de los resultados de la Encuesta de Consumo continúan registrando niveles récord. En mayo, una mayor proporción de hogares manifiesta haber accedido a préstamos a través del sistema financiero. Encuesta de Opinión Empresarial La confianza industrial continúa con su tendencia de recuperación. Los industriales esperan incrementar su producción en los próximos tres meses. El porcentaje de utilización de la capacidad instalada supera los niveles observados antes de la recesión de 1999. Aunque la confianza de los comerciantes continúa elevada, estos perciben que su nivel de ventas a disminuído.
    Date: 2006–07–04
    Abstract: Retornan las expectativas de apreciación del peso colombiano. Se mantienen las expectativas de una menor inflación durante los próximos seis meses. Los administradores de portafolio confían en el buen desempeño económico de largo plazo, lo cual se refleja en un mayor "apetito" por este tipo de inversiones.
    Date: 2006–02–07
  28. By: Ana María Tribín Uribe
    Abstract: Arnold Harberger en 1969 estimo la tasa de rendimiento de capital para Colombia. En su investigación desarrolló una metodología para calcular las variables relevantes que se necesitan para estimarla. Este trabajo replica la metodología de Harberger con datos recientes y encuentra el costo de oportunidad del capital para tres escenarios diferentes. En el primer escenario se toman los datos de las Cuentas Nacionales y de las Naciones Unidas y se desarrolla la metodología de Harberger, los resultados que se obtuvieron indican que la tasa de rendimiento al capital se ubica entre 8.1% y el 7.4%. En el segundo escenario se ajusta la tasa de depreciación, ya que Harberger explica que está sobre estimada y por tanto, se debe calcular de nuevo la tasa de rendimiento del capital haciendo un ajuste en las tasas de depreciación. Siguiendo los pasos de Harberger se modifica la tasa de depreciación y se encuentra que la tasa de retorno al capital se localiza entre 7.7% y 7.1%. Finalmente, debido a que la proporción de capital sobre el Producto Interno Bruto que se obtiene es muy alta relativa a los datos de Planeación Nacional, se construye un tercer escenario en que se decide utilizar una serie de capital alternativa, la cual modifica el valor estimado de la tasa de retorno al capital al ubicarla entre 11% y 10%.
    Date: 2006–07–30
    Abstract: La evolución de las expectativas macroeconómicas señala que los administradores de portafolio esperan un aumento en la inflación y depreciación del peso en los próximos meses. En julio el porcentaje neto de administradores que espera que la inflación aumente creció a un 68% Solo un 13% neto de los administradores de portafolio esperan que el spread de la deuda pública aumente en los próximos meses. El Índice de Confianza del Mercado (ICM) continua recuperándose. Las expectativas de inflación evitaron un mayor incremento en el ICM. Los títulos atados a la DTF son la principal opción a la hora de invertir El Índice de Aversión al Riesgo presentó un fuerte incremento.
    Date: 2006–08–04
  30. By: James Andreoni; Yeon-Koo Che; Jinwoo Kim
    Date: 2006–08–11
    Abstract: * El crecimiento económico será 4,7% en 2006 y 4,5% en 2007. Sobre el desarrollo del mercado de bonos corporativos y sus determinantes * En Colombia, el crédito bancario continúa como el principal mecanismo de financiamiento para las firmas. * Los requerimientos para la emisión y los costos asociados a ésta son factores que limitan la continuidad de la participación de las firmas en el mercado de bonos. * En cuanto a los inversionistas, los Fondos de Pensiones presentan la mayor participación de inversiones en bonos corporativos dentro de su portafolio total. * La falta de un índice de referencia y la baja capitalización actual del mercado, son factores que limitan la participación de los inversionistas. * Si bien el desarrollo del mercado de deuda pública ha tenido efectos positivos, resulta importante analizar hasta dónde este puede poner un límite al desarrollo del mercado privado. Encuesta de Consumo * El Índice de Confianza del Consumidor alcanzó máximo histórico (30 puntos). * El crecimiento de la confianza de los estratos bajos se desacelera. * Continúa la alta disposición para la compra de vivienda y bienes durables. * Los hogares esperan que las tasas de interés de los préstamos continúen con su tendencia a la baja. Encuesta de Opinión Financiera * Los agentes esperan una depreciación del peso en los próximos meses. * Una gran proporción de los administradores encuestados considera que la tasa de intervención del Banco de la República aumentará en los próximos meses. Encuesta de Opinión Empresarial * El buen comportamiento de la industria durante los primeros meses del año se refleja en una mayor confianza de los industriales. * Mejoran las expectativas de empleo industrial para los próximos tres meses
    Date: 2006–04–28
  32. By: Wasseem Mina (U.A.E. University); Jorge Martinez-Vazquez (Andrew Young School of Policy Studies)
    Abstract: Contract enforcement and institutional stability play an important role in determining the level and maturity of international debt. Contract enforcement is modeled as a fixed cost that investors incur to obtain the contracted, gross returns on international investments. Institutional stability is modeled as the probability that the same contract enforcement cost will persist over time. Countries with poor contract enforcement and institutionally unstable impose higher contract enforcement costs and increase uncertainty about their structure. The level and maturity of international debt is reduced as a result. The empirical estimation provides support for the hypothesis. Stronger contract enforcement and institutional stability increase international lending and lengthen its maturity.
    Keywords: Contract enforcement; Institutions; Stability; International Lending; Maturity
    Date: 2006–05–01
    Abstract: Las centrales de información crediticia son una herramienta fundamental para efectos de evaluación de riesgo, cálculos de probabilidades de no pago y construcción de scores crediticios. Eliminar de manera pronta el dato negativo puede tener efectos contrarios a los que se buscan y puede llevar a una menor disponibilidad de crédito y a una elevación de su costo. El sector financiero debería utilizar todas las herramientas disponibles para las evaluaciones de riesgo y no sólo la información disponible en las centrales de riesgo. La mayor competencia que viene operando en el sector financiero debería reflejarse en menores costos de crédito para los usuarios que han mantenido una buena historia crediticia. El balance entre las políticas pro crecimiento y las políticas pro pobres En Colombia, país con un ingreso medio relativamente alto pero con elevados niveles de desigualdad y pobreza, las políticas deberán combinar medidas pro crecimiento y medidas pro pobres. Los resultados muestran que es importante destinar una mayor proporción de recursos públicos a la ampliación de los programas de asistencia social como Familias en Acción. En general, se evidencia que hay fallas en la focalización de los subsidios en Colombia. Encuesta de Consumo El Índice de Confianza del Consumidor alcanzó en febrero un registro de 25,1 puntos. Las expectativas de los consumidores señalan que durante 2006 la confianza continuará en niveles record. Encuesta de Opinión Financiera Los agentes esperan nuevas reducciones en los spreads de deuda. Encuesta de Opinión Empresarial Las condiciones económicas para la inversión se encuentran en un máximo histórico.
    Date: 2006–04–04
    Abstract: Encuentre en esta edición un análisis sobre el cierre de las negociaciones del TLC, un documento de actualidad sobre las fuentes de la valorización del mercado de acciones, un módulo especial sobre inversión empresarial, los resultados más recientes de las Encuestas de Fedesarrollo, y los indicadores económicos más importantes actualizados.
    Date: 2006–02–28
    Abstract: El gobierno nacional ha anunciado su propósito de presentar un proyecto de reforma financiera en la próxima legislatura 2006-2007, para lo que ha venido examinando, con asesores nacionales e internacionales, distintas facetas del funcionamiento del sistema financiero colombiano. Durante el mes de mayo se han empezado a conocer los resultados de algunos de estos análisis, que darán al gobierno insumos académicos y técnicos para el proyecto de ley. Si bien no se conoce aún el contenido del proyecto, en esta edición de ECONOMÍA Y POLÍTICA se expresan algunas ideas generales sobre esta iniciativa.
    Date: 2006–05–26
    Abstract: Actualmente se tramita en el Congreso un proyecto de ley para reglamentar la administración de datos personales en bases de datos colectivas, particularmente de tipo crediticio. El debate público se ha centrado en una sola de sus dimensiones: la económico-financiera. Sin embargo, el debate debe abordar también sus complejidades constitucionales y tecnológicas. En esta edición de ECONOMÍA Y POLÍTICA analizamos estas tres dimensiones, para luego examinar el proyecto de ley que se tramita en el Congreso.
    Date: 2006–04–28
  37. By: Drukarczyk, Jochen; Schöntag, Stefanie
    Abstract: Wie die Rechtskleider aussehen sollten, die Sanierungsprozesse für Unternehmen lenken und strukturieren, ist eine sehr interessante und relevante Frage. Wir greifen aus diesem Problemfeld einen Teilaspekt heraus: Wir unterstellen, daß das Unternehmen insolvent gemäß den Kriterien des relevanten Rechtskleides ist, daß also Workouts oder freie Sanierungen bereits erfolglos stattgefunden haben oder versäumt worden sind. Die zentrale Frage ist jetzt, wie eine den Wert günstig gestaltende Verwertung des Vermögens gefunden werden kann und wie der Verteilungsprozeß dieses Wertes zu gestalten ist. Der Wert der Verwertungsform hängt ab von operativen Entscheidungen, aber auch von der Finanzierung des neuen Unternehmens, der Zeitdauer und den Kosten des gewählten Verfahrens, der Effizienz der während des Verfahrens zu treffenden Entscheidungen und der Nutzung der i.d.R. bestehenden Verlustvorträge. Die Ergebnisse des Verteilungsprozesses hängen entscheidend von den Vorgaben des Rechtskleides für den Verteilungsprozeß ab. Wir stellen die Vorgaben des Rechtskleides der Insolvenzordnung einem optionsbasierten Procedere, das Bebchuk und Aghion/Hart/Moore vorgeschlagen haben, gegenüber. Anhand eines dreiperiodigen Beispielfalles entwickeln wir mögliche Bewertungs- und Wertzuweisungsergebnisse und zeigen, daß und wie Eigenschaften des Rechtskleides auf Wert und Wertzuteilung wirken.
    Keywords: bankruptcy, corporate reorganization, cram-down, loss carry forward
    Date: 2006–08–08

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