Research
Selected Working Papers
"Climate Growth at Risk in the Global South," (with Carlos Giraldo, Iader Giraldo, and Jorge M. Uribe). Latin American Reserve Fund (FLAR) WP, 2024. Submitted.
"Asymmetric Sovereign Risk: Implications for Climate Change Preparation," (with Jorge M. Uribe and Oscar M. Valencia). Inter-American Development Bank (IDB) WP, 2024. Submitted.
"Integration and Financial Stability: A Post-Global Crisis Assessment," (with Carlos Giraldo, Iader Giraldo, and Jorge M. Uribe). Latin American Reserve Fund (FLAR) WP, 2024. R&R requested by Economic Modelling.
"Sovereign Risk and Economic Complexity," (with Jorge M. Uribe and Oscar M. Valencia). Inter-American Development Bank (IDB) WP, 2024. R&R requested by the Journal of International Financial Markets, Institutions and Money.
"Too many bubbles? Using the non-fundamental component of price for better identification of housing price bubbles," (with Juan C. Pardo-Niño), 2024. R&R requested by the Journal of Real Estate Portfolio Management.
"Political and Institutional Determinants of Foreign Direct Investment (FDI) Inflows in Latin American Countries, 1995-2020," (with Mine Aysen Doyran). SSRN WP, 2023. R&R requested by Latin American Business Review.
"Transforming Management Decision-Making: An Artificial Intelligence Experiment in Executive Context," (with Miguel I. Gómez, Sergio Pardo, and Juan M. Vicaria), 2023. Submitted.
"US uncertainty shocks, credit, production, and prices: The case of fourteen Latin American countries," (with Carlos Giraldo, Iader Giraldo, and Jorge M. Uribe). Latin American Reserve Fund (FLAR) WP, 2023. Submitted.
Supporting Data and Code for "Debt Affordability in Developed and Emerging Market Economies: The Role of Fiscal Rules, published at the Journal of Economics and Finance: https://drive.google.com/drive/folders/1Z_D6kscxK8KkDqirhIv3sD8GFVY90m11?usp=drive_link
"Financial information in Colombia,'' (with X. Gine and N. Garcia), World Bank Policy Working Paper, 2017.
"Bank failure: Evidence from the Colombian financial crisis," (with Nick Kiefer), Cornell University Center for Analytic Economics WP, 2006.
Publications in Peer-Reviewed Journals
"High Frequency Monitoring of Credit Creation: A New Tool for Central Banks in Emerging Market Economies," (with C. Giraldo, I. Giraldo, and Jorge M. Uribe), The Quarterly Review of Economics and Finance, Vol. 97, No. C, Article 101893, 2024.
"On Regional Bank Concentration and Firm Leverage: The Case of Colombia," (with Jose J. Cao-Alvira). Accepted for publication at Emerging Markets Finance and Trade, 2024. DOI:10.1080/1540496X.2024.2366264
"Inflation-targeting central bank responses to exchange rate shocks: Evidence from Latin America," (with Jose J. Cao-Alvira and Julian D. Vallejo-Peña), forthcoming at Applied Economics Letters, 2024. DOI:10.1080/13504851.2024.2335372
"U.S. Monetary Policy Shocks and Bank Lending in Latin America: Evidence of an International Bank Lending Channel," (with Carlos Giraldo, Iader Giraldo, and Jorge M. Uribe), forthcoming at Applied Economics Letters, 2024. DOI: 10.1080/13504851.2024.2331672
“Financial and Macroeconomic Uncertainties and Real Estate Markets," (with Jorge Hirs-Garzon, Sebastian Sanin-Restrepo, and Jorge M. Uribe), Eastern Economic Journal, Vol. 50, No. 1, P. 29 - 53, 2024
“US uncertainty shocks on real and financial markets: a multi-country perspective," (with Jorge Hirs-Garzon and Jorge M. Uribe), forthcoming at Economic Systems. DOI: 10.1016/j.ecosys.2024.101180, 2024
“Debt Affordability in Developed and Emerging Market Economies: The Role of Fiscal Rules," (with Oscar M. Valencia and Gustavo A. Sanchez), forthcoming at Journal of Economics and Finance. DOI: 10.1007/s12197-024-09660-3, 2024
“Does economic complexity reduce the probability of a fiscal crisis?" (with Jorge M. Uribe and Oscar M. Valencia), World Development, Volume 168, No. C, Article 106250, 2023
“An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk," (with Carlos Giraldo, Iader Giraldo, and Jorge M. Uribe), Finance Research Letters, Vol. 57, No. C, Article 104273, 2023
“Banks’ Leverage in Foreign Exchange Derivatives in Times of Crisis: A Tale of Two Countries," (with Carlos Giraldo, Iader Giraldo, and Jorge M. Uribe), Emerging Markets Review, Vol. 55, No. C, Article 101028, 2023
“Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter" (with Jorge M. Uribe and Oscar M. Valencia), Applied Economics, Volume 55, No. 13, P. 1477 - 1496, 2023
“Bank Market Power and Firm Finance: Evidence from Bank and Loan Level Data," (with Sebastian Sanin-Restrepo, Cesar E. Tamayo, and Oscar M. Valencia), Economic Change and Restructuring, Vol. 56, No. 6, P. 4629-4660, 2023
“Unveiling the Influence of COVID-19 on the Online Retail Market: A Comprehensive Exploration," (with Andrés Muñoz-Villamizar and Sergio Pardo-Jaramillo), Journal of Retailing and Consumer Services, Volume 75, No. C, Article 103538, 2023
“How Fiscal Rules Can Reduce Sovereign Debt Default Risk" (with Oscar M. Valencia and Gustavo A. Sanchez), Emerging Markets Review, Vol. 50, No. C, Article 100839, 2022
“Spillovers beyond the variance: exploring the higher order risk linkages between commodity markets and global financial markets," (with Jorge Hirs and Jorge M. Uribe), Journal of Commodity Markets, Vol. 28, No. C, Article 100258, 2022
”Interdependent Capital Structure Choices and the Macroeconomy” (with Jorge Hirs and Jorge M. Uribe), North American Journal of Economics and Finance, Vol. 62, No. C, Article 101750, 2022
“Bancarization and Violent Attacks from Guerrilla and other Illegal Groups in Colombia,” (four coauthors), Socio-Economic Planning Sciences, Vol. 78, No. C, Article 101084, 2021
“Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets," (with Jorge Hirs), Journal of Real Estate Portfolio Management, Vol. 27, No. 1, P. 20-28, 2021
“Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality," (with Jorge Hirs and Sebastián Sanín), International Economics, Vol. 165, P. 37-50, 2021
“More than Words: Foreign Exchange Intervention under Imperfect Credibility," (with Julian A. Parra-Polania and Mauricio Villamizar-Villegas), Bulletin of Economic Research, Vol. 73, No. 4, P. 499-507, 2021
“Does the Financial Structure of Banks Influence the Bank Lending Channel of Monetary Policy? Evidence from Colombia,” (with A. Kutan, J. Ojeda-Joya and C. Ortiz), International Journal of Emerging Markets, Vol. 16, No. 4, P. 765-785, 2021
“Giving and Receiving: Exploring the Predictive-Causality between Oil Prices and Exchange Rates,” (with J. Hirs-Garzon and J.M. Uribe), International Finance, Vol. 23, No. 4, P. 175-194, 2020
“Dynamic relations between oil and stock market returns: A multi-country study, ” (with J. Hirs-Garzon and J. Gamboa-Arbelaez), North American Journal of Economics and Finance, Vol. 51, No. C, Article 101082, 2020
“A Rank Approach for Studying Cross-Currency Basis and the Covered Interest Rate Parity,” (with S. Gomez-Malagon, L.F. Melo-Velandia and D. Ordonez-Callamand), Empirical Economics, Vol. 59, No. 1, P. 357-369, 2020
“Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects,” (with S. Gamba-Santamaria, J. Hurtado-Guarin and L.F. Melo-Velandia), Empirical Economics, Vol. 56, No. 5, P. 1581-1599, 2019
“Detecting exchange rate contagion using copula functions,” (two coauthors), North American Journal of Economics and Finance, Vol. 47, No. C, P. 13-22, 2019
“Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DcC-GARCH and R-vine copulas,” (with W. Rojas-Espinosa), Economic Systems, Vol 43, No. 3-4, Article 100717, 2019
“When Bubble Meets Bubble: Contagion in OECD Countries,” (with J. Gamboa-Arbelaez, J. Hirs-Garzon and A. Pinchao-Rosero), The Journal of Real Estate Finance and Economics, Vol. 56, No. 4, P. 546-566, 2018
“The Maple Bubble: A History of Migration among Canadian Provinces,” (with S. Sanin-Restrepo), Journal of Housing Economics, Vol. 41, No. C, P. 57-71, 2018
“Determinants of Housing Bubbles’ Duration in OECD Countries," (with J.S. Amador-Torres and S. Sanin-Restrepo), International Finance, Vol. 21, No. 2, P. 140-157, 2018
“Sovereign Default Risk in OECD Countries: Do Global Factors Matter?,” (with D. Ordonez-Callamand and L.F. Melo-Velandia), North American Journal of Economics and Finance, Vol. 42, No. C, P. 629-639, 2017
“Patterns of Global Health Financing and Potential Future Spending on Health,” (with N.R. Reyes), The Lancet, Vol. 389, No. 10083, P. 1955-1956, 2017
“Stock Market Volatility Spillovers: Evidence for Latin America,” (with S. Gamba-Santamaria, J. Hurtado-Guarin and L.F. Melo-Velandia), Finance Research Letters, Vol. 20, No. C, P. 207-216, 2017
“Asset Price Bubbles: Existence, Persistence and Migration,” (with J. Ojeda-Joya, J.P. Franco and J.E. Torres), South African Journal of Economics, Vol. 85, No. 1, P. 52-67, 2017
“Mind the Gap: Computing Finance-Neutral Output Gaps in Latin-American Economies,” (with J.S. Amador-Torres, J. Ojeda-Joya, F. Tenjo-Galarza and O. Jaulin-Mendez), Economic Systems, Vol. 40, No.3, P. 444-452, 2016
“The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia,” (with J.A. Espinosa-Torres, L.F. Melo-Velandia and J.F. Moreno-Gutierrez), Research in International Business and Finance, Vol. 37, No. C, P. 646-654, 2016
“Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach,” (with R. Loaiza-Maya and L.F. Melo-Velandia), Contemporary Economic Policy, Vol. 33, No. 3, P. 535-549, 2015
“Exchange Rate Contagion in Latin America,” (with R. Loaiza-Maya and L.F. Melo-Velandia), Research in International Business and Finance, Vol. 34, No. C, P. 355-367, 2015
“Non-parametric and Semi-parametric Asset Pricing: An Application to the Colombian Stock Exchange,” (with E. Sanabria-Buenaventura), Economic Systems, Vol. 38, No. 2, P. 261-268, 2014
“Testing for Causality between Credit and Real Business Cycles in the Frequency Domain: An Illustration,” (with J. Ojeda-Joya, F. Tenjo-Galarza and H. Zarate-Solano), Applied Economics Letters, Vol. 21, No. 10, P. 697-701, 2014
“The Term Structure of Sovereign Default Risk in an Emerging Economy,” (with J. Ojeda-Joya), Comparative Economic Studies, Vol. 56, No. 4, P. 657-675, 2014
“Loan Growth and Bank Risk: New Evidence,” (with J.S. Amador-Torres and A. Murcia Pabon), Financial Markets and Portfolio Management, Vol. 27, No. 4, P. 365-379, 2013
“The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size does Matter,” (with A. Garcia-Suaza, A. Murcia Pabon and F. Tenjo-Galarza), Economic Modelling, Vol. 29, No. 5, P. 1612-1617, 2012
“A Simple Test of Momentum in Foreign Exchange Markets,” (with A. Garcia-Suaza), Emerging Markets Finance and Trade, Vol. 48, No. 5, P. 66-77, 2012
“Does the Use of Foreign Currency Derivatives Affect Firms’ Market Value? Evidence from Colombia,” (with C. Leon and K. Leiton), Emerging Markets Finance and Trade, Vol. 48, No. 4, P. 50-66, 2012
“The Number of Banking Relationships and the Business Cycle: New Evidence from Colombia,” (with N.R. Reyes), Economic Systems, Vol. 35, No. 3, P. 408-418, 2011
“Estimation of Conditional Time-Homogeneous Credit Quality Transition Matrices,” (with I. Orozco Hinojosa), Economic Modelling, Vol. 27, No. 1, P. 89-96, 2010
“The Competing Risks of Acquiring and Being Acquired: Evidence from Colombia’s Financial Sector,” (with A. Garcia-Suaza), Economic Systems, Vol. 34, No. 4, P. 437-449, 2010