Examinando por Autor "Carranza Romero, Juan Esteban"

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An empirical characterization of mortgage default in Colombia between 1997 and 2004
(Banco de la República, 2007-01-01) Carranza Romero, Juan Esteban
This paper examines the relationship between mortgage default decisions and relevant observable variables under the light of a random utility model. The focus of the study is the Colombian mortgage market between 1997 and 2004 using two separate data sets that are matched using simulation techniques. The estimation allows the computation of mortgage default probabilities that are directly related to an underlying model of optimal default. Results are sharp and indicate that variation in current income has little effect on mortgage default, compared to housing prices and mortgage balances.
Análisis empírico de la relación entre la actividad económica y la violencia homicida en colombia
(Universidad Icesi, 2011-07-30T01:07:48Z) Dueñas Herrera, Ximena; Carranza Romero, Juan Esteban; González Espitia, Carlos Giovanni
The goal of this article is to examine the causal relationship between murders and economic activity in Colombia during the last decades. This analysis draws on the fact that economic activity in other Latin American countries is highly correlated with economic activity in Colombia, but is not affected by homicidal violence in Colombia. The use of this instrument allows us to establish a strong causal effect of economic activity on murders. An analysis of time series provides further support for the hypothesis that there is a long-term relationship between murders and economic activity.
Consideraciones casi obvias sobre la tasa de cambio
(Universidad Icesi, 2010-04-07T22:36:21Z) Carranza Romero, Juan Esteban; Observatorio de Políticas Públicas – POLIS
Este documento tiene como objetivo presentar algunas consideraciones casi obvias sobre la tasa de cambio en Colombia, precisando los hechos antes que asignar culpables. Las preguntas base del documento son: ¿a qué se deben las fluctuaciones día a día del precio del dólar y su aparentemente desmesurada volatilidad?, ¿a qué se debe su trayectoria de largo plazo, es decir, su persistente tendencia a la baja? Por último,¿qué tan grave es en realidad la revaluación del peso? Estas preguntas se resuelven con argumentos económicos que en su mayoría no han sido tenidos en cuenta por los analistas económicos más reputados en Colombia y sin necesidad de hacer cálculos sofisticados.
Lo dicen los datos: la violencia homicida en Colombia es un resultado del ciclo económico
(Universidad Icesi, 2010-04-12T17:00:18Z) González Espitia, Carlos Giovanni
Los estudios de violencia en Colombia se están convirtiendo en una referencia importante para la reflexión en torno a cuestiones relativas a la política de seguridad nacional de los años venideros. En este sentido, el objetivo del documento es mostrar de una forma casi formal, que los datos agregados revelan cómo la violencia homicida en Colombia es un resultado del ciclo económico. Los principales resultados muestran una fuerte correlación entre los homicidios y el ciclo económico colombiano, de aproximadamente -0,77. El análisis multivariante de las series de tiempo confirma la existencia de una relación estadística (cointegración) de largo plazo entre los homicidios y el ciclo económico colombiano.
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia
(Universidad Icesi, 2010-09-01) Carranza Romero, Juan Esteban
We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the effects on default of a class of policies that affected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for estimating dynamic behavioral models accounting for the presence of unobserved state variables that are correlated across individuals and across time periods. We extend the standard literature on the structural estimation of dynamic models by incorporating an unobserved common correlated shock that affects all individuals' static payoffs and the dynamic continuation payoffs associated with different decisions. Given a standard parametric specification the dynamic problem, we show that the aggregate shocks are identified from the variation in the observed aggregate behavior. The shocks and their transition are separately identified, provided there is enough cross-sectionavl ariation of the observeds tates.
Identifying the determinants of mortgage default in Colombia between 1997 and 2004
(Springer, 2013-08-01) Estrada, Dairo
This paper examines the relationship between mortgage default decisions and relevant observable variables in Colombia between 1997 and 2004. We estimate a discrete choice model of default using a panel of individual mortgage characteristics and payment information. We show that home prices and debt balances are the main determinants of mortgage default. We account for the presence of unobserved heterogeneity using Survey data and simulation techniques. Including controls for the distribution of income shows that income was not important but helps clarifying the relevance of mortgage leverage in the determination of the observed default rates.
La indexación de los saldos hipotecarios y la crisis colombiana de final del siglo XX
(Universidad de los Andes, 2011-01-01) Carranza Romero, Juan Esteban
El objetivo de este artículo es evaluar el impacto sobre el default hipotecario de la política que regulaba la indexación de los saldos hipotecarios durante la década de los noventa. Argumentamos en el artículo que la política introducida por las autoridades económicas colombianas durante los primeros años de la década, tuvo un efecto sustancial sobre la tasa de default hipotecario observada durante la crisis económica y financiera que ocurrió a finales de la década. Hacemos un análisis econométrico basado en un modelo de default óptimo y una muestra aleatoria de hipotecas vigentes entre 1997 y 2004. Los resultados implican que las variables más importantes en la determinación del default observado fueron los saldos de las hipotecas y los precios de los bienes raíces, mas no la caída del ingreso. Además, estimamos que aproximadamente la mitad del default observado entre las hipotecas iniciadas después de 1996 fue causado por la política de indexación de los saldos con la tasa de interés.
Price Controls and Market Structure: Evidence from Gasoline Retail Markets
(2015-03-01) Carranza Romero, Juan Esteban
In this paper we study the effect of price floor regulations on the organization and performance of markets. The standard interpretation of the effects of these policies is concerned with short‐run market distortions associated with excess supply. Since price controls prevent markets from clearing, they lead to higher prices. While this analysis may be correct in the short‐run, it does not consider the dynamic equilibrium consequences of price controls. We demonstrate that price floor regulations can have important long‐run effects on the the structure of markets by crowding them and creating endogenous barriers to entry for low‐cost retailers. Moreover, we show that these factors can indirectly lower productivity and possibly even prices. We test this in the context of an actual regulation imposed in the retail gasoline market in the Canadian province of Québec and show that the policy led to more competition between smaller/less efficient stations. This resulted in lowered sales, and, despite the reduction in efficiency, did not increase prices.
Product innovation and adoption in markert equilibrium : the case of digital cameras
(Universidad Icesi, 2008-03-01) Carranza Romero, Juan Esteban
This paper contains an empirical dynamic model of supply and demand in the market for digital cameras with endogenous product innovation. On the demand side, heterogeneous consumers time optimally the purchase of goods depending on the expected evolution of prices and characteristics of available cameras. On the supply side, firms introduce new camera models accounting for the dynamic value of new products and the optimal behavior of consumers. The model is estimated using data from the market for digital cameras and the estimated model replicates rich dynamic features of the data. The estimated model is used to perform counterfactual computations, which suggest that more competition or lower product introduction costs generate more product variety but lower average product quality.
Product innovation and adoption in market equilibrium: the case of digital cameras
(Universidad Icesi, 2007-01-01) Carranza Romero, Juan Esteban
This paper contains an empirical dynamic model of supply and demand in the mar- ket for digital cameras with endogenous product innovation. On the demand side, het- erogeneous consumers time optimally the purchase of goods depending on the expected evolution of prices and characteristics of available cameras. On the supply side, firms introduce new camera models accounting for the dynamic value of new products and the optimal behavior of consumers. The model is estimated using data from the market for digital cameras and the estimated model replicates rich dynamic features of the data. The estimated model is used to perform counterfactual computations, which suggest that more competition or lower product introduction costs generate more product variety but lower average product quality