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Reference financial cycle in Colombia

Author

Listed:
  • Jorge Mario Uribe

    (Universidad del Valle)

  • Inés María Ulloa

    (Universidad del Valle)

  • Johanna Perea

    (Universidad del Valle)

Abstract

In this paper we date recession and expansion phases for several financial variables in Colombia and construct a reference financial cycle for the economy. The selected variables include the stock market index (IGBC), the ratio of total loans to GDP, the ratio of consumption loans to GDP, and the return on assets (ROA) of bank institutions. The degree of synchronization between the financial cycle and some market and real variables, such as the passive market interest rate, is also analyzed. We conclude that three complete financial cycles have occurred from 1990 to 2013. Also, we find evidence favoring the existence of a relationship between the real and the financial cycles, and between the latter and the market interest rate.

Suggested Citation

  • Jorge Mario Uribe & Inés María Ulloa & Johanna Perea, 2015. "Reference financial cycle in Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 83, pages 33-62, Julio - D.
    • Handle: RePEc:lde:journl:y:2015:i:83:p:33-62
    DOI: 10.17533/udea.le.n83a02
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    References listed on IDEAS

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    More about this item

    Keywords

    financial cycles; classic cycles; synchronization; real cycle; Colombia; cycles in emerging economies;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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