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Uncovering the Portfolio Balance Channel with the use of Sovereign Credit Ratings

Laura
Andrade-Pardo
Oscar Mauricio
Valencia-Arana
Diego Mauricio
Vásquez
Mauricio
Villamizar-Villegas
Domingo, 1 Mayo 2016

In this paper we study exchange rate effects due to shifts in the portfolio composition of the Colombian financial sector during 2003-2014. We first provide a theoretical understanding of the channel's transmission mechanism by modeling how the banking