Research
Working papers
Working papers
Liquidity premium and return predictability in U.S. Inflation-linked Bonds Market
This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS (nominal Treasury) excess returns. The explanatory power of the TIPS liquidity premium is statistically significant and economically meaningful for short-term excess TIPS maturities and for long-term nominal Treasury bonds. I also find that the out-of-sample forecasting power of liquidity for nominal Treasury excess returns appears to have been addressed by the events during the recent financial crisis. By contrast, I have evidence of out-of-sample forecasting ability during both normal and bad times for TIPS’ excess returns. Available here.Financial Conglomerates and the effects of concentration in Repo Markets (with Jorge Flórez, Banco de la República y Carlos Cañon, Bank of England)This paper examines the effects of concentration in lending transactions in the repo market be- tween a few large and powerful financial conglomerates. Using transaction-level data from Mexico, we observe a persistent and stable two-way funding relationship between banks and funds affiliated with rival financial conglomerates, which they execute at lower rates. Using granular instrumental variables, we provide causal evidence that two-way transaction favors the market concentration of the repo lending in a few funds and increases FC-affiliated fund market power. Finally, banks’ contribution to systemic risk increases when funds depend more on a single bank to position their excess liquidity, but the overall systemic risk decreases with two-way lending.
The effect of investors’ information acquisition on Sell-side analysts’ forecast bias
(with Jasé Gabriel Astaiza, EAFIT)
This study analyzes the role of cooperative behavior in facing the risk of encouraging innovative agricultural production projects by small-scale farmers. A within-subjects field experiment was conducted with small-scale Colombian panela-cane farmers, and the data gathered was used to conduct the regression analyses. The results suggest that small farmers are more willing to invest in a novel and profitable alternative, although riskier when they can follow cooperative behavior by joining a group and pooling resources to face risk. However, the possibility of cooperating with a group to invest in a novel production project depends on its expected risk level..Work in progress
Work in progress
Financial capability and Financial well-being: A study among rural population in Colombia? (with Sebastian Cardenas, Superintendencia Financiera)
This paper explores the link between financial capability and financial well-being of rural populations with limited credit and insurance services are limited and the weak state support. We use data collected from 404 individuals living in rural areas of Tolima-Colombia to compute an indicator of financial well-being. Results from a regression analysis showed significant differences in the financial well-being level by various factors, including financial behaviors and attitudes, when controlling for demographic and socioeconomic information and financial characteristics.How optimal are fines in cartel cases? An evaluation of the case of Colombian fining policy.
In Colombia, the available sanctions for hard-core cartels include monetary fines against both business entities and individuals. For business entities, the maximum fine per offense charged is the greater of (i) 100,000 current legal minimum monthly wages, presently equal to 98,065 billion pesos or about USD 28.8 million or (ii) 150% of the profits derived from the anticompetitive conduct (Article 25 of Law 1340). The SIC sanctioned between 2009 and 2019 around eight hardcore cases imposing fines using the first criteria exclusively, arguing that the option permitting fines of up to 150% of the illicit profits is unavailable as a practical matter because the profits cannot effectively be calculated. In such circumstances, is the maximum sanction of 28.8 million sufficient to produce a deterrent effect? What happens when very large firms are involved? The purpose of this study is to analyze the deterrence property of this peculiar rule. In doing so, we expect to provide evidence in favor of applying the second criteria available in the law and propose a practical formula to compute it.Students’ academic performance and learning modalities: A case study for the online and face-to-face learning at the Universidad Nacional during the COVID-19 pandemic. (with Milena Hoyos, Universidad Nacional de Colombia)
This research project aims to study how the challenges associated with a rapid transition to online teaching and learning could affect the achievements of undergraduate students in terms of their academic performance. Taking a sample of undergraduate courses, we study the differences between the students’ course grades and the number of students who canceled the course from previous years to the pandemic (2018-2019) and the same lectures delivered in emergency remote teaching (2020-2021). By making this contrast, we may connect differences in academic performance due to differences in teaching modalities, particularly online versus face-to-face teaching.