Jorge M. Uribe

Jorge M. Uribe
Universitat Oberta de Catalunya | UOC · Estudis d'Economia i Empresa

Ph.D. Economics

About

87
Publications
6,618
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
427
Citations
Introduction
My current lines of research are: energy markets, quantitative risk management and international finance.
Education
January 2015 - February 2018
University of Barcelona
Field of study
  • Economics

Publications

Publications (87)
Article
A nonlinear factor model based on fundamental weather variables, in addition to market-related variables, is proposed for modeling the price of electricity. The full conditional distribution of electricity prices using quantile regressions is modeled and the effect of weather factors on upside and downside risks in the electricity market is analyze...
Article
We propose a daily index of time-varying stock market uncertainty. The index is constructed after first removing the common variations in the series, based on recent advances in the literature that emphasize the difference between risk (expected variation) and uncertainty (unexpected variation). To this end, we draw on data from 25 portfolios sorte...
Article
Accurate decisions regarding exposure to and hedging against market risk, both of which are crucial for electricity producers and consumers, depend on a correct assessment of electricity price dynamics. This paper proposes a comprehensive empirical methodology to model price variations in electricity markets based on hydrothermal power generation....
Article
We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tail-codependences between the US and LA than those between the US and the matur...
Article
In the wake of the recent financial crisis, a growing literature measures, and analyses the impact of uncertainty on international financial markets. These studies are primarily based on conditional mean-based models. Quantile models can be employed to capture the heavy-tails of stock returns, however, they are limited to causal relationships, and...
Article
This study shows that capital structure choices of US corporations are interdependent across time. We follow a two-step estimation approach. First, using a large cross-section of firms we estimate year-by-year average capital structure choices, i.e., the average firm’s percentage of new funding that is secured through debt, its term composition, an...
Article
We propose a methodology to price an insurance contract designed to hedge the volumetric risk associated with weather conditions. Our methodology is based on conditional quantile regressions and adapts Value at Risk (VaR) and Expected Shortfall statistics from the literature on financial econometrics. In our empirical application, we use actual dai...
Article
We study volatility spillovers between the corporate sector’s and Latin American countries’ CDS. Daily data from 14 October 2006 to 23 August 2021 are employed. Spillovers are computed both for the raw data and for filtered series, which factor out the effect of global common factors on the various CDS series. Results indicate that most spillovers...
Article
We investigate the transmission of natural gas shocks to electricity prices under different scenarios of electricity generation for 21 European markets, from January 1, 2015 to March 11, 2022, proposing indicators of market vulnerability based on the quantile slopes of the regressions of electricity on natural gas and the distance between the trans...
Article
We study banks’ profitability in the US economy by means of dynamic factor models. Our results emphasize the importance of a few common cyclical market factors that greatly determine banking profitability. We conduct exhaustive regressions in a big data set of macroeconomic variables aiming to gain interpretability of our statistical factors. This...
Article
We explore the higher order linkages between commodity markets and global financial markets. We focus on spillovers of realized good and bad volatilities, realized sign jump variation, realized skewness, and realized kurtosis. Our results show that the measurement of risk spillovers is sensitive to the definition of risk used in their construction....
Article
Con motivo de los veinticinco años de la Universitat Oberta de Catalunya y de sus Estudios de Economía y Empresa, tres profesores del ámbito de Finanzas de la institución realizan un análisis de la evolución de la función financiera y una proyección de escenarios de futuro para identificar retos y oportunidades. Joan Llobet introduce el tema a part...
Article
We study aggregate uncertainty and its linear and nonlinear impact on real and financial markets. By distinguishing between four general notions of aggregate uncertainty (good-expected, bad-expected, good-unexpected, bad-unexpected) within a simple, common framework, we show that it is bad-unexpected uncertainty shocks that generate a negative reac...
Article
Recent studies show that international financial integration facilitates cross-country consumption risk-sharing. We extend this line of research and demonstrate that breaking financial integration down into good and bad integration is important. We also propose new measures of capital market integration, based on good and bad volatility shocks, as...
Preprint
Full-text available
This study shows that capital structure choices of US corporations are interdependent across time. We follow a two-step estimation approach. First, using a large cross-section of firms we estimate year-by-year averagecap ital structure choices, i.e., the average firm’s percentage of new funding that is secured through debt, its term composition, an...
Preprint
Full-text available
We study the effect of macroeconomic and financial U.S. uncertainty shocks on international housing markets using a multi-country FAVAR model. This approach allows the identification of the effects of different sources of uncertainty on the global economy by imposing natural contemporaneous restrictions on the data generating process, which cannot...
Article
Full-text available
We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in the aggregate, and provide readily and easily interp...
Article
We study dynamics of capital structure in the oil sector, which has witnessed dramatic changes in the market conditions, such as significant changes in the price of oil, crucial reforms in legislation, and reduced access to credit over the last decade. Our analysis is focused on testing the main predictions of the tradeoff, pecking order, and marke...
Article
Full-text available
We test whether the credit channel of the monetary policy was present in the United States’ economy from January 2001 to April 2016. To this end, we use a factor-augmented vector autoregression, and we impose sensible theoretical sign restrictions in our structural identification scheme. We use the expected substitution effect between bank commerci...
Article
We empirically study market integration and the propagation of shocks in the interconnected market of Nord Pool. We document an increasing trend towards market integration over recent decades in Nord Pool and identify clear cycles accounting for greater integration (larger transmission of shocks) in the cold seasons. Greater market integration perm...
Article
This study examines the asymmetric impact of systemic liquidity on asset prices across market states. We use time-series conditional quantile regressions to estimate an otherwise traditional liquidity-augmented three-factor model for asset prices. We find the exposure of equity returns to systemic liquidity risk to be dependent on the market state....
Article
Full-text available
Rice is one of the most important crops in terms of harvested area and food security both globally and for Colombia. Improvement of technical efficiency levels in rice production in order to close yield gaps in a context in which rice demand increases, natural resources are depleted, and where there are growing expectations about both climate chang...
Chapter
In this chapter, we discuss the goodness of fit in the context of quantile regression. We present the coefficient of determination and its adaptation to the quantile regression context. We illustrate how to calculate this goodness of fit statistic and how to interpret it using data for energy consumption, its determinants and electricity prices.
Chapter
In this chapter, we describe three recent lines of research in quantile regression, the first one is rather an extension of nonparametric regression into the quantile regression framework. The second topics are an extension for time series quantile regressions of the traditional time series tool, the cross-correlogram. The third possible extension...
Chapter
In this chapter, we explore a topic that has gained considerable attention in the academic literature during the latter years, namely quantile regression for time series data. We will illustrate how to use conditional quantile regression to model the dynamics of electricity prices as a function of the price of an input and also substitute energy co...
Chapter
In this chapter, we conclude and we emphasize that quantile regression is suitable for predictive modeling when the response is asymmetric or non-normally distributed conditional on the covariates. We note that usually, the model aims at the lower or upper percentiles of the response.
Chapter
In this chapter, the main methodological concepts related to quantile regression are described. We provide the definition of conditional and unconditional quantiles and present the minimization problem with asymmetric loss that underlies the quantile estimation via quantile regressions. Additionally, weighted quantile regression tools that will be...
Chapter
In this chapter, we illustrate the classical problem of quantile regression for cross-sectional data. We develop one practical exercise using R. We visualize and interpret our results, where quantile regression is used to explain which factors affect excess consumption of electricity by a sample of US households with different characteristics. Thes...
Chapter
Quantile regression is a way to disclose predictive relationships between a response variable and some regressors or explanatory variables when the interest is to find a causal link beyond the mean-to-mean effects. Quantile regression is a procedure to model the cut points of the cumulated conditional probability distribution of a response variable...
Chapter
Quantile regression is a potent tool to analyze frequently found issues in economics and finance, such as the identification of consumption and production determinants and their potential impacts on demand and supply decisions, or the dynamics of prices that are featured by seasonality and other stylized facts that complicate traditional empirical...
Article
This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liquidity in most markets are induced predominately by inter-market innovations. We also find that comm...
Book
This brief addresses the estimation of quantile regression models from a practical perspective, which will support researchers who need to use conditional quantile regression to measure economic relationships among a set of variables. It will also benefit students using the methodology for the first time, and practitioners at private or public orga...
Article
We study the dynamic connectedness and predictive causality between oil prices and exchange rates. Our sample includes six important oil‐producing and six net importing countries. Our results show that for the first set of countries, oil prices are net spillover receivers from exchange rate markets. Similarly, there is evidence of bidirectional Gra...
Article
We investigate the extent and evolution of the links between energy markets using a broad data set consisting of a total of 17 series of prices for commodities such as electricity, natural gas, coal, oil and carbon. The results shed light on a number of relevant issues such as the volatility spillover effect in energy markets (within and across sec...
Article
Full-text available
We offer a new approach for modeling past trends in the quantiles of the life table survivorship function. Trends in the quantiles are estimated, and the extent to which the observed patterns fit the unit root hypothesis or, alternatively, an innovative outlier model, are conducted. Then a factor model is applied to the detrended data, and it is us...
Article
Supply shocks in electricity markets that disrupt energy production cause unexpected spikes in prices, which in turn have economic consequences, such as higher risk and therefore higher costs and losses for producers and consumers of electricity. One relevant shock in this sector is the halting of hydroelectric power generation due to the freezing...
Article
We estimate volatility- and quantile (depreciation)-based spillovers across 20 global currencies against the US Dollar. In so doing, we reveal significant asymmetries in the propagation of risk across global currency markets. The quantile-based statistic reacts more significantly to events that have a sizable impact on FX markets (e.g. Brexit vote...
Article
We measure the directional predictability between electricity and natural gas prices at different quantiles of their respective price distributions. This reveals significant nonlinearities in the relationship that characterizes the interconnected gas and electricity markets of both New England and Pennsylvania-New Jersey-Maryland. We identify a dou...
Chapter
In Spain the notion of consumer does not coincide with the legal definition of the individual protected by domestic financial regulation. That is, while a consumer (or user) refers to a physical or legal entity, which operates in an area outside a business or professional activity; the individual in financial regulation is a client. The client can...
Article
Full-text available
This article tests the existence of the transmission channel of monetary policy, through the balance sheet, for the Colombian economy and, specifically, for the manufacturing sector. To this effect, following closely the theoretical guidelines on the topic, different responses are sought to the policy shock, depending on company sizes in the sample...
Article
We assess volatility spillovers and directional connectedness among stock returns of the biggest 20 oil companies listed in the New York Stock Exchange (NYSE) between January 2002 and November 2016. The methodological approach we employed allows the study of the total average connectedness, statically and dynamically, as well as pairwise spillovers...
Article
Full-text available
Se propone una metodología para realizar simulaciones de escenarios de operación de sistemas solares fotovoltaicos. Esta aproximación tiene en cuenta características documentadas de las variables climáticas, como su estacionalidad y la presencia de quiebres estructurales, las cuales no han sido exploradas anteriormente con profundidad. La propuesta...
Article
We explore international risk synchronization in global stock markets over the last two decades. To this end, we construct global indices of risk synchronization based on individual estimations of market risk and their aggregation via spatial correlations. We then use these indices to analyze the effects of several financial crises on market risk s...
Article
We estimate the impact of equity market uncertainty and an unobservable systemic risk factor on the returns of the major banks in the global banking sector. Our estimation combines quantile regressions, structural changes, and factor models and allows us to explore the stability of systemic risk propagation among financial institutions. We find tha...
Article
This paper explores recent mortality trends in men and women, in Santiago de Cali. To this end, the model proposed by Lee and Cater (1992) is fitted to the data. Through techniques commonly used in contemporary actuarial and demographic literatures, this article also provides future projections of specific mortality rates, which may be useful for t...
Article
Full-text available
We study the effect that shocks to oil and stock prices have over the returns of the largest oil firms listed at the New York Stock Exchange. We found evidence of asymmetric effects, conditioning on a given quantile of the oil companies’ stock return distributions. That is, both, shocks to the stock market and to crude oil prices, induce effects of...
Article
El objetivo de este documento es exponer las tendencias de mortalidad recientes en hombresy mujeres, en Santiago de Cali, construidas mediante la aplicación del modelo de Leey Carter (1992). También aportar a la literatura y agencias de política regionales proyeccionesfuturas de las tasas de mortalidad específicas en la ciudad, a través de técnicas...
Article
Full-text available
We analyze the effect of global financial conditions of developed and emerging economies on economic activity in Colombia. To accomplish this task, we estimate financial conditions indices for the stock markets of developed and emerging countries using principal components analysis. Then, we include the estimated indices as regressors in a traditio...
Article
Full-text available
In this research paper, we propose a methodology to measure the financial risk in non-financial companies exposed to variables such as mortality and morbidity rates. The developed methodology includes elements from actuarial literature, financial economics and copulation theory. The methodology focuses on the measurement of the underlying risk to d...
Article
Full-text available
Este documento explora mediante pruebas de cambio estructural endógeno, posibles quiebres en la distribución no condicional del crecimiento del PIB real colombiano entre 1924 y 2013. No se encuentra evidencia de algún quiebre estructural en la tasa de crecimiento económico durante el periodo analizado, contradiciendo previos hallazgos de la literat...
Article
En el presente artículo, se busca contrastar la hipótesis de posibles cambios en los nivelesde riesgo del mercado de acciones colombiano. Se estima un AR-SWARCH para losretornos del Índice General de la Bolsa de Valores de Colombia durante el período julio2001-diciembre 2013. Se encuentra que existen dos regímenes de riesgo. En aquel de mayorriesgo...
Article
Full-text available
Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo * RESUMEN En este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se...
Article
In this article, we date the ‘recession’ and ‘expansion’ phases of 46 stock markets around the world from December 1994 to September 2013. We use the Harding and Pagan methodology to identify peaks and troughs in these stock market indices. This approach enables us to establish periods of synchronization between the markets based on the timing of p...
Article
Full-text available
We explore the impact of changes in the monetary policy conditions of the United States on emerging economies, such as Colombia, Chile and Peru. We used SVAR-X models jointly with a partial identification strategy. We find divergent and small effects on the analyzed economic variables. In Colombia, a contraction in the monetary policy of the United...
Article
Full-text available
We evaluate the effectiveness of the Colombian Central Bank´s interventions in the foreign exchange market during the period 2000 to 2014. We examine the stochastic process that describes the exchange rate, with a focus on the detection of structural breaks or unit roots in the data to determine whether the Central Bank´s interventions were effecti...
Article
Full-text available
This document measures the synchronization between the stabilization policy and the Colombian business cycle during the period March 1990 - June 2013. A classical methodology is used for the cycle construction and a reference cycle is constructed parting from three individual cycles of three real economic activity indicators. With the end of measur...
Article
We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses generalized dynamic factor models fitted to the differences in the log-mortality rates. We compare their prediction performance with that of models previously described in the literature, including the traditional static factor mode...
Article
Full-text available
Resumen: En el presente trabajo se establecen las fechas de origen y finalización del ciclo de algunas variables financieras en Colombia y se construye un ciclo financiero de referencia para el país. Dentro de las variables analizadas se encuentran el Índice General de la Bolsa de Valores de Colombia, la razón de cartera de créditos sobre PIB, la c...
Article
Full-text available
In this document, we explore the dynamics of the volatility of the Colombian exchange rate (USA dollar-Colombia peso). Some features of the stochastic process describing the exchange rate volatility are identified. Special attention is given to the distinction between conditional and unconditional moments. We use an ARCH model with regimen switchin...
Chapter
Using data of specific mortality rates, discriminating between males and females, we estimate mortality and longevity risks for Spain in a period spanning from 1950 to 2012. We employ Dynamic Factor Models, fitted over the differences of the log-mortality rates to forecast mortality rates and we model the short-run dependence relationship in the da...
Article
Full-text available
Se explora el efecto en términos de eficiencia de portafolio (en media y varianza) de la entrada en vigencia del Mercado Integrado Latinoamericano (MILA). El análisis se basa en la construcción de una razón de Sharpe con frecuencia mensual, con datos diarios, para los índices de bolsa de los tres países involucrados (Chile, Perú y Colombia), con es...
Article
Full-text available
To contrast recent hypotheses in the economic literature stating that the formation of periodic and synchronized bubbles in global markets is a consequence of portfolio asset migrations, the financial bubbles of the Latin American stock markets with the biggest relative market size are estimated in this paper. Also, the chronology of the bubbles is...
Article
Full-text available
Se plantea el coeficiente de dependencia asintótica, basado en cópulas, como una medida para la administración del riesgo en portafolios de acciones. Se describen algunos aspectos de las estructuras macro y microeconómicas del mercado en Colombia, motivando la introducción de medidas como la propuesta. La aplicación a catorce de las acciones más lí...
Article
Con el fin de poner a prueba hipótesis recientes en la literatura económica, según las cuales la formación de burbujas periódicas y sincronizadas en los mercados globales es consecuencia de la migración recurrente de capitales de portafolio, en este trabajo se estiman los periodos de burbujas financieras en los mercados de acciones latinoamericanos...
Article
Full-text available
This work explored the effect in terms of portfolio efficiency (in means and variance) of the implementation of the Latin American Integrated Market (MILA, for the term in Spanish). The analysis was based on the construction of a Sharpe ratio with monthly frequency, with daily data, for the stock indexes from the three countries involved (Chile, Pe...
Article
Full-text available
The coefficients of tail dependence, based on copulas, are proposed as a measure for portfolio risk management. Some aspects of the macro and microstructures of the Colombian stock market are described. Such features encourage the use of measures, such as the one proposed herein. The application of the proposed methodology to the fourteen most liqu...
Article
Full-text available
The Colombian stock market has grown considerably in recent decades, but it remains illiquid and concentrated. This situation does not seem to be a consequence of the external macroeconomic fundamentals, neither to the internal ones, instead it responds to the investment portfolios dynamics in charge of the AFP and to the Capital Account. In this a...
Article
Full-text available
This paper reviews the basic methodologies for the estimation of Value at Risk (VaR) that are currently in use in international stock and financial market regulation and portfolio management. The main shortcomings of these methodologies are exposed and the direct consequences of ignoring these limitations are analyzed, the latter highlighted by the...
Article
Full-text available
This paper reviews the basic methodologies for the estimation of Value at Risk (VaR) that are currently in use in international stock and financial market regulation and portfolio management. The main shortcomings of these methodologies are exposed and the direct consequences of ignoring these limi-tations are analyzed, the latter highlighted by th...
Article
The theoretical relationship between informational efficiency and efficiency in the assignment is reviewed in this document. Two improvements are proposed with respect to the traditional empirical methodology that is currently used to test market efficiency in the weak form. The first one is to calculate the statistic to measure efficiency dynamica...
Article
Full-text available
En este documento se revisa la relación teórica entre eficiencia informacional y eficiencia en la asignación. Igualmente, se proponen dos mejoras a la metodología empírica tradicional para medir la eficiencia en el sentido débil. La primera consiste en calcular el estadístico de eficiencia dinámicamente, lo cual enriquece el análisis y permite defi...
Article
Full-text available
A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson coefficients and vector autoregressions. The technique...
Article
En este art�culo se describe la metodolog�a utilizada para la medici�n del riesgo de mercado llevada a cabo en el Reporte de Estabilidad Financiera, mediante el uso de t�cnicas din�micas no s�lo en la modelaci�n de volatilidades sino tambi�n de correlaciones. La medida de Valor en Riesgo (VeR) se calcul� individualmente para los bancos comerciales...
Article
En este documento se presenta una aplicaci�n al sistema bancario colombiano de la metodolog�a de prueba de estr�s propuesta por Cih�k (2007). El an�lisis de las posibles consecuencias generadas por diversos choques econ�micos sobre el sistema bancario se desarrolla involucrando cinco factores de riesgo individuales: de cr�dito, de tasa de inter�s,...
Article
Full-text available
En este artículo se analizan los principales determinantes de la rentabilidad de los bancos comerciales en Colombia durante el período comprendido entre enero de 2000 y mayo de 2007. Se estiman los efectos de los movimientos en la tasa de cambio peso dólar sobre dicha rentabilidad, tanto en un momento de tiempo, como en varios. El modelo estadístic...
Article
Partiendo de la base te�rica de que existe una relaci�n positiva entre el desarrollo del mercado de capitales y el crecimiento econ�mico, se construyen indicadores de tama�o, liquidez, riesgo, integraci�n y eficiencia, para el mercado accionario colombiano. Para esto, se usan medidas tradicionales de profundidad del mercado, adem�s de modelos GARCH...

Network

Cited By

Projects

Project (1)
Project
Modeling volatility spillovers among financial markets.