Análisis de la crisis financiera de estados unidos (2007-2008) y la crisis de deuda (2011): su relación e impacto sobre uno de los fundamentales de la economía colombiana, la tasa de cambio

Este documento presenta una perspectiva de como una economía pequeña y abierta (en temas comerciales y de inversión) como la colombiana, se ve afectada por choques que sufren economías grandes como la estadounidense. Durante el periodo de estudio la economía de Estados Unidos sufrió dos choques: primero la crisis de las hipotecas subprime en los años 2007-2008; luego la crisis de deuda soberana de Estados Unidos en 2011. Estos dos choques afectaron la economía colombiana. En ambos casos, se puede establecer un hecho clave que detonó las crisis. En el primero, la entrada en el capítulo 11 de protección a bancarrotas por parte de Lehman Brothers, el 15 de septiembre de 2008. En el segundo, el detonante fue la baja de la calificación de la deuda soberana de Estados Unidos por parte de Standard and Poor´s el 5 de agosto de 2011. Estos días claves en las crisis, afectaron los principales índices de la bolsa de Estados Unidos, especialmente los relacionados con la actividad financiera, luego es de suponer que posiblemente también afectaron fundamentales de la economía colombiana como lo es la tasa de cambio peso-dólar (USD/COP). Este documento tiene como objeto principal, establecer el impacto de las crisis Norteamericana de 2007-2008 y de 2011, sobre la economía colombiana, específicamente sobre la tasa de cambio USD/COP. El documento también, analiza las causas que generaron dichas crisis en Estados Unidos, haciendo énfasis en la falta de regulación y control por parte de las instituciones del gobierno en la crisis de las hipotecas subprime. De igual forma se analiza el papel de las firmas calificadoras de riesgo, en la crisis de deuda estadounidense.

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.

On the Sources of Uncertainty in Exchange Rate Predictability

We analyse the role of time-variation in coefficients and other sources of uncertainty in exchange rate forecasting regressions. Our techniques incorporate the notion that the relevant set of predictors and their corresponding weights, change over time. We find that predictive models which allow for sudden rather than smooth, changes in coefficients significantly beat the random walk benchmark in out-of-sample forecasting exercise. Using innovative variance decomposition scheme, we identify uncertainty in coefficients' estimation and uncertainty about the precise degree of coefficients' variability, as the main factors hindering models' forecasting performance. The uncertainty regarding the choice of the predictor is small.

Phylogenetic analysis of rubella virus strains during an outbreak in Sao Paulo, 2007-2008

Rubella virus (RV) is an important human pathogen that causes rubella, an acute contagious disease. It also causes severe birth defects collectively known as congenital rubella syndrome when infection occurs during the first trimester of pregnancy. Here, we present the phylogenetic analysis of RV that circulated in Sao Paulo during the 20072008 outbreak. Samples collected from patients diagnosed with rubella were isolated in cell culture and sequenced. RV RNA was obtained from samples or RV-infected cell cultures and amplified by reverse transcriptase-polymerase chain reaction. Sequences were assigned to genotypes by phylogenetic analysis using RV reference sequences. Seventeen sequences were analyzed, and three genotypes were identified: 1a, 1G, and 2B. Genotypes 1a and 1G, which were isolated in 2007, were responsible for sporadic rubella cases in Sao Paulo. Thereafter, in late 2007, the epidemiological conditions changed, resulting in a large RV outbreak with the clear dominance of genotype 2B. The results of this study provide new approaches for monitoring the progress of elimination of rubella from Sao Paulo, Brazil. J. Med. Virol. 84:16661671, 2012. (c) 2012 Wiley Periodicals, Inc.

Temperature measured in permafrost borehole at ICDP site 5011-3 in El'gygytgyn Crater, 2008-2011

This study focuses on the temperature field observed in boreholes drilled as part of interdisciplinary scientific campaign targeting the El'gygytgyn Crater Lake in NE Russia. Temperature data are available from two sites: the lake borehole 5011-1 located near the center of the lake reaching 400 m depth, and the land borehole 5011-3 at the rim of the lake, with a depth of 140 m. Constraints on permafrost depth and past climate changes are derived from numerical simulation of the thermal regime associated with the lake-related talik structure. The thermal properties of the subsurface needed for these simulations are based on laboratory measurements of representative cores from the quaternary sediments and the underlying impact-affected rock, complemented by further information from geophysical logs and data from published literature. The temperature observations in the lake borehole 5011-1 are dominated by thermal perturbations related to the drilling process, and thus only give reliable values for the lowermost value in the borehole. Undisturbed temperature data recorded over more than two years are available in the 140 m deep land-based borehole 5011-3. The analysis of these observations allows determination of not only the recent mean annual ground surface temperature, but also the ground surface temperature history, though with large uncertainties. Although the depth of this borehole is by far too insufficient for a complete reconstruction of past temperatures back to the Last Glacial Maximum, it still affects the thermal regime, and thus permafrost depth. This effect is constrained by numerical modeling: assuming that the lake borehole observations are hardly influenced by the past changes in surface air temperature, an estimate of steady-state conditions is possible, leading to a meaningful value of 14 ± 5 K for the post-glacial warming. The strong curvature of the temperature data in shallower depths around 60 m can be explained by a comparatively large amplitude of the Little Ice Age (up to 4 K), with low temperatures prevailing far into the 20th century. Other mechanisms, like varying porosity, may also have an influence on the temperature profile, however, our modeling studies imply a major contribution from recent climate changes.

Viral, bacterial and ciliate abundance and viral-bacterial diversity in mesocosm experiments, 2007-2008, Kongsfjorden

Two mesocosm experiments, PAME-I and PAME-II were conducted in 2007 and 2008 to investigate fate of organic carbon in the arctic microbial food web. Mesocosms were nutrient fertilized initially to induce phytoplankton bloom development. In PAME-I eight units (each 700 L) formed two four point gradients of additional DOC in form of glucose (0, 0.5, 1 and 3 times Redfield ratio in terms of carbon relative to the nitrogen and phosphorus additions) (Fig. 1). All the eight units also got a daily dose of NH4+ and PO4**3- in Redfield ratio. Two gradients were set up, one with silicate addition, performed in the Arctic location Ny Ålesund, Svalbard, have previously been reported to give different food-web level responses to similar nutrient perturbations. In PAME-II all ten units (each 900 L) formed two four point gradients of additional DOC in form of glucose (0, 0.5, 1, 2 and 3 times Redfield ratio in terms of carbon relative to nitrogen and phosphorus additions). The two gradients in glucose were kept silicate replete. NH4+ was used as the DIN source in one gradient (units 1 to 5) and NO3- in the other (units 6-9). All units got a daily dose of PO4**3- in Redfield ratio. Prokaryotes and viruses were measured by flow cytometry, while ciliate abundances were counted using a Flow Cam. Viral and bacterial diversity was measured by PFGE and DGGE, respectively. In PAME-II the abundance of ciliates was lower than in PAME-I, presumably caused by higher copepod grazing. The abundances of prokaryotes and viruses were also lower in PAME-II compared to PAME-I. Further, less diversity was detected in the viral community (FCM and PFGE) in PAME-II, and no response was observed in the bacterial community structure due to addition of organic carbon.

Excess Mortality associated to Influenza epidemic in Portugal, from 2007/2008 to 2014/2015 seasons

Mortality in the north hemisphere is higher in winter than in summer seasons, due to the influenza epidemics as well as cold temperatures. Portuguese influenza surveillance comprises clinical and laboratorial notifications of Influenza-like Illness (ILI) attended in the primary health care units and emergency rooms. Without information on specific cause of deaths in real time, estimation of influenza impact has been accessed using Portuguese Daily Mortality Monitoring System (VDM), that covers all cause mortality of Portuguese population. The aim of this study was to provide excess mortality, potentially associated to Influenza each season (between 2007/08 and 2014/15).

Exchange Rate Predictability in a Changing World

An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such Taylor rules with Time Varying Parameters (TVP) estimated by Bayesian methods. In core out-of-sample results, we improve upon a random walk benchmark for at least half, and for as many as eight out of ten, of the currencies considered. This contrasts with a constant parameter Taylor rule model that yields a more limited improvement upon the benchmark. In further results, Purchasing Power Parity and Uncovered Interest Rate Parity TVP models beat a random walk benchmark, implying our methods have some generality in exchange rate prediction.

How optimal are the extremes?: Latin American exchange rate policies during the Asian crisis

Includes bibliography

Trade effects of exchange rate fluctuations: Evidence from Sweden

An overview of the theoretical literature for the last two decades suggests that there is no clear-cut relationship one can pin down between exchange rate volatility and trade flows. Analytical results are based on specific assumptions and only hold in certain cases. Especially, the impact of exchange rate volatility on export and import activity investigated separately leads also to dissimilar conclusions among countries studied. The general presumption is that an increase in exchange rate volatility will have an adverse effect on trade flows and consequently, the overall heath of the world economy. However, neither theoretical models nor empirical studies provide us with a definitive answer, leaving obtained results highly ambiguous and inconsistent (Baum and Caglayan, 2006). We purposed to empirically investigate trade effects of exchange rate fluctuations in Sweden from the perspective of export and import in this research. The data comprises period from January 1993 to December 2006, where export and import volumes are considered from the point of their determinants, including exchange rate volatility, which has been measured through EGARCH model. The results for the case of Sweden show that short run dynamics of volatility negatively associated with both export and import, whereas considered from the case of previous period volatility it exhibits positive relationship. These results are consistent with the most findings of prior studies, where the relationship remained ambiguous.

Exchange rate volatility and the use of foreign currency derivatives: Impact of 2008 global financial crisis

This thesis examines the impact of foreign exchange rate volatility to the extent of use of foreign currency derivatives. Especially the focus is on the impacts of 2008 global financial crisis. The crisis increased risk level in the capital markets greatly. The change in the currency derivatives use is analyzed by comparing means between different periods and in addition, by linear regression that enables to analyze the explanatory power of the model. The research data consists of financial statements figures from fiscal years 2006-2011 published by firms operating in traditional Finnish industrial sectors. Volatilities of the chosen three currency pairs is calculated from the daily fixing rates of ECB. Based on the volatility the sample period is divided into three sub-periods. The results suggest that increased FX market volatility did not increase the use foreign currency derivatives. Furthermore, the increased foreign exchange rate volatility did not increase the power of linear regression model to estimate the use foreign currency derivatives compared to previous studies.

Exchange Rate Policy and Economic Growth after the Financial Crisis in Central and Eastern Europe

In a paper on the effects of the global financial crisis in Central and Eastern Europe (CEE), the author reacts to a paper of Åslund (2011) published in the same issue of Eurasian Geography and Economics on the influence of exchange rate policies on the region’s recovery. The author argues that post-crisis corrections in current account deficits in CEE countries do not in themselves signal a return to steady economic growth. Disagreeing with Åslund over the role of loose monetary policy in fostering the region’s economic problems, he outlines a number of competitiveness problems that remain to be addressed in the 10 new EU member states of CEE, along with improvements in framework conditions supporting future macroeconomic growth.

Development of Rouble Exchange Rate in Russia

This 45th volume deals with the development of the Russian rouble, which suffered a severe depreciation crisis in 1998. In the aftermath of this event, a strong investment boom started in Russia. The new devalued rouble exchange rate gave price competitiveness to local industry. In addition to that, increasing export prices of Russian oil and natural gas deliveries have contributed to economic growth lately. Amid this boom period, inflationary pressure has remained high. Price increases have been higher than in the EU, Russia’s main trading partner. However, rouble/euro exchange rate has remained nominally rather stable in the current decade. This means, that rouble appreciates against euro in real terms, which is weakening Russia’s international competitiveness.

Development of Rouble Exchange Rate in Russia

NORDIn julkaisu 45 käsittelee ruplan kehitystä. Vuonna 1998 rupla kärsi rajusta rahanarvon alenemisesta, minkä jälkiseuraksena investointi alkoi Venäjällä kasvaa. Uusi devalvoitu ruplan vaihtokurssi toi hintakilpailykykyä paikalliselle teollisuudelle. Tämän lisäksi Venäjän öljyn vientihintojen nousu ja maakaasujakelu ovat edesauttaneet taloudellista kasvua viime aikoina. Tämän noususuhdanteen vallitessa inflaatiopaine on pysynyt korkealla. Hinnannousut ovat olleet korkeampia kuinEU:ssa, Venäjän pääkauppakumppanilla. Kuitenkin, ruplan/euron vaihtokurssit ovat pysyneet nimellisesti melko vakaina tällä vuosikymmenellä. Tämä tarkoittaa, että todellisuudessa rupla vahvistuu euroa vastaan, mikä heikentää Venäjän kansainvälistä kilpailykykyä.