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).

Loss of nerve fiber layer in HIV positive patients and comparative patterns in a series of cases in Bucaramanga, Colombia

Objective: The objective of this study is to conduct a description of the features of optic neuropathy associated with Human Immunodeficiency Virus in relation to their possible incidence within our population, regarding that there is no data in our population in terms of frequency of this pathology (1,2). Methodology: Descriptive cross-sectional study of a clinical series of patients infected with human immunodeficiency virus, but AIDS, and the thickness of optic nerve´s layer of fibers studied with OCT technology (optical coherence tomography), patients were cited once captured. OCT was performed by the same observer, by taking 3 shots and picking the one with better reliability. Patients were given personally to the Ophthalmologic Foundation of Santander to conduct the review called OCT (optical coherence tomography). Results: In terms of viral load variable, we found a clear correlation in which validates the hypothesis that lower viral load means a thicker layer of fibers finding statistically significant differences for the 6 hours in right eye and 12 and 6 hours in left eye. Comparison between the known nomogram of fiber layer thickness for the population of Bucaramanga, Santander and thickness found in our sample, we note a clear decrease in the upper and lower quadrants, specifically in 7 hours and 11 hours, being more important in 7 hours, showing statistically significant differences. Conclusions: The pattern  of thinning of the nerve fiber layer in HIV positive patients without AIDS, and antiretroviral treatment type HAART, showed a statistically significant thinning targeted at 7 hours and 11 hours, being higher in first. Viral load figures have a direct relation with loss fiber layer, showing a statistically significant difference for the 6 and 12 hours.

Eficacia de la melatonina en insomnio primario en el adulto mayor: revisión sistemática de la literatura

Introducción: La melatonina, una sustancia cronobiótica endógena, es cada vez más empleada para el manejo de los problemas del sueño en adultos mayores por su aparente eficacia y buen perfil de eventos adversos. En este sentido, se intentó evaluar la eficacia de la melatonina en el tratamiento del insomnio primario en el adulto mayor (≥55 años) comparado con benzodiacepinas, zopiclona y placebo a la luz de la evidencia disponible en los últimos cinco años. Métodos: Revisión sistemática de la literatura. Resultados: En comparación con placebo, al parecer la melatonina mejora la calidad y los hábitos de sueño, no así la latencia de inicio de sueño en mediciones subjetivas ni objetivas (polisomnografía); a diferencia de otros medicamentos hipnóticos, no altera la arquitectura del sueño ni genera síntomas diurnos. Conclusiones: No se encontró evidencia que soporte el uso de melatonina en adultos mayores de 55 años para la reducción de la latencia de sueño, aumento del tiempo total de sueño, mejoría de la eficiencia del sueño, disminución de despertares nocturnos o mejoría de la calidad de sueño. Es necesario adelantar más estudios en comparación con placebo y otros medicamentos.

Business cycle asymmetries: Loss aversion, sticky prices, and wages

In this chapter, the Smets-Wouters (2003) New Kenesian model is reformulated by introducing the loss aversion utility function developed in chapter two. The purpose of this is to understand how asymmetric real business cycles are linked to asymmetric behavior of agents in a price and wage rigidities set up. The simulations of the model reveal not only that the loss aversion in consumption and leisure is a good mechanism channel for explaining business cycle asymmetries, but also is a good mechanism channel for explaining asymmetric adjustment of prices and wages. Therefore the existence of asymmetries in Phillips Curve. Moreover, loss aversion makes downward rigidities in prices and wages stronger and also reproduces a more severe and persistent fall of the employment. All in all, this model generates asymmetrical real business cycles, asymmetric price and wage adjustment as well as hysteresis.

A DSGE model with loss aversion in consumption and leisure: an explanation for business cycles asymmetries

In this chapter, an asymmetric DSGE model is built in order to account for asymmetries in business cycles. One of the most important contributions of this work is the construction of a general utility function which nests loss aversion, risk aversion and habits formation by means of a smooth transition function. The main idea behind this asymmetric utility function is that under recession the agents over-smooth consumption and leisure choices in order to prevent a huge deviation of them from the reference level of the utility; while under boom, the agents simply smooth consumption and leisure, but trying to be as far as possible from the reference level of utility. The simulations of this model by means of Perturbations Method show that it is possible to reproduce asymmetrical business cycles where recession (on shock) are stronger than booms and booms are more long-lasting than recession. One additional and unexpected result is a downward stickiness displayed by real wages. As a consequence of this, there is a more persistent fall in employment in recession than in boom. Thus, the model reproduces not only asymmetrical business cycles but also real stickiness and hysteresis.

Elasticity of Substitution in the U.S. Market with Endogenous Transport Costs: a Sectoral Approach.

En este artículo se presentan estimaciones de la elasticidad de sustitución de bienes importados al mercado de los EEUU en el periodo 1990 - 2003, siguiendo a Anderson y Wincoop (2004). Estas estimaciones aprovechan la disponibilidad de la información sobre costos de transporte de bienes publicada por la Oficina del Censo de los Estados Unidos, desagregándola a seis digitos. Se obtienen dos estimaciones diferentes de la elasticidad de sustitución: una a nivel agregado promedio y otra a nivel sectorial. Como puede esperarse, las estimaciones que tienen en cuenta la endogeneidad de los costos de transporte son estadisticamente diferentes en un punto porcentual a los resultados obtenidos cuando no se contempla la estructura de los costos de transporte. Esta diferencia es incluso superior cuando comparamos los resultados obtenidos utilizando la clasificacion sectorial a nivel de dos digitos de la clasificacion ISIC revisión 2.

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.