De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Advances and limitations in the attention to the problems of housing and urban land in Mexico. An approach from the legal-institutional frame

In this work we analyze the reforms carried out by the Mexican state in the nineties of the 20th century, in the items concerning the policies of housing and urban land, based on an exhaustive review of the main actions, programs and changes in the legal and institutional frame that applies for each of these fields. The nineties represent a "breaking point" in the way the State considers the satisfaction of the right to the housing and attends the offer of urbanized land for a tidy and sustainable urban development. In this period of time, the approach of direct intervention in developing and financing housing and creation of land reserves has changed into another one, ruled by the logic of the market. The balance to the first decade of the 21st century is ambiguous, as neither the housing policy has solved the housing shortage for low-income population, nor the land policy has eliminated the illegal urban growth.

Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Ownership structure and risk at Colombian banks

The separation between ownership and the control of capital in banks generates differences in the preferences for risk among shareholders and the manager. These differences could imply a corporate governance problem in banks with a dispersed ownership, since owners fail to exert control in the allocation of capital. In this paper we examine the relationship between the ownership structure and risk for Colombian banks. Our results suggest that a high ownership concentration leads to higher levels of risk.

Land Reform, Latifundia and Social Development at Local Level in Colombia, 1961-2010

The paper analyzes the effects of land reform on social development – poverty and land distribution-at the local level. Land reform in Colombia, understood as the allocation of public land to peasant, has granted 23 million hectares which comprises around 20% of Colombian territory and about 50% of usable productive land. Theoretically, the net impact of land reform on development is the combination of a poverty effect and a land distribution effect. Our findings suggest that land reform from 1961 onwards has slightly reduced poverty and mildly improved land distribution. Nonetheless,municipalities with strong presence of latifundia prior to1961 have experienced both a slower drop in poverty and a weaker improvement of land distribution .This paper finds that prevalence of latifundia partially offset the positive effect of land reform in promoting social development.

Loan sales under asymmetric information

Loans are illiquid assets that can be sold in a secondary market even that buyers have no certainty about their quality. I study a model in which a lender has access to new investment opportunities when all her assets are illiquid. To raise funds, the lender may either borrow using her assets as collateral, or she can sell them in a secondary market. Given asymmetric information about assets quality, the lender cannot recover the total value of her assets. There is then a role for the government to correct the information problem using fiscal tools.

Credit spreads and monetary policy in a small open economy: an analysis of the colombian economy

This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null.

Informality in the City: a Theoretical Analysis

This thesis theoretically studies the relationship between the informal sector (both in the labor and the housing market) and the city structure.