Julian Fernandez Mejia

• Graduate Student
• Assistant Professor at Pontifical Xavierian University

The exchange rate pass-through into the consumer price index on healthcare goods and services was measured by estimating a FAVAR model for Colombia. Results provide evidence of an incomplete and heterogeneous effect. There is no indication of transmission to the services or insurance indexes, but there is a significant effect on the medicines and d...

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...

Purpose The purpose of this paper is to analyse the effect of market risk on the revenues perceived by an agricultural producer, namely, a coffee exporter firm. Design/methodology/approach To model this risk, copula models and extreme value theory are used to perform more robust estimations, which take into account the multivariate dependence betw...

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...

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...

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...

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...

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...

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...