Research

Work in Progress

• ``Beliefs, Stock Holding, and Wealth Accumulation Throughout the Life Cycle’’.

• ``Genetic Endowments, Income Dynamics, and Wealth Accumulation Over the Lifecycle’’. With Daniel Barth, Nicholas Papageorge, and Kevin Thom. Draft in preparation.
  • Will be presented at Frontiers in Economic Analysis with Genetic Data (Nov 2021).
    
    
• ``Crime Variability, Peer Effects, and Economic Inequality in Social Networks’’. With Gustavo Canavire-Bacarreza and Alex L. Lundberg. Submitted.
  • Will be presented at LAMES 2021 (Oct 2021).
    
    

Peer-Reviewed Publications

1. Velásquez-Giraldo, M., G. Canavire-Bacarreza, K. P. Huynh, and D. T. Jacho-Chavez. (2018): “Flexible Estimation of Demand Systems: A Copula Approach,” Journal of Applied Econometrics, 33, 1109–16.

   In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local transportation, and intercity transportation for Canadian households from 1997 to 2009. In particular, we conduct a replication of Chang and Serletis, (The demand for gasoline: Evidence from household survey data, Journal of Applied Econometrics, 2014, 29, 291–343) hereafter CS, who—using TSP version 5.1—estimated Deaton and Muellbauer, ’s Almost Ideal Demand System (AIDS) (American Economic Review, 1980, 70, 312–326), Banks et al., ’s Quadratic AIDS (Review of Economics and Statistics, 1997, 79, 527–539), and Barnett, ’s Minflex Laurent (ML) (Journal of Business and Economic Statistics, 1983, 1, 7–23) models to demand systems consisting of these three goods, analyzing and enforcing theoretical economic regularity—that is, the compliance of estimates with positivity, monotonicity, and curvature. Using the R statistical language instead, we found that our estimates are similar to those of CS using data for single-member households and married couples without children, but differ for households with one child. (All replicated estimation tables in CS, as well as our full implementation, are available as supplementary material in the online version of this paper.) However, using a more flexible copula model, a total of 168 possible specifications for each type of household and their resulting gasoline own-price elasticities are also estimated. We find that allowing for skewness in the marginal distributions of local transportation budget shares greatly improves the Bayesian information criterion (BIC) of our models.

   @article{VelasquezGiraldo2018jae,
     author = {Velásquez-Giraldo, Mateo and Canavire-Bacarreza, Gustavo and Huynh, Kim P. and Jacho-Chavez, David T.},
     title = {Flexible Estimation of Demand Systems: A Copula Approach},
     journal = {Journal of Applied Econometrics},
     volume = {33},
     number = {7},
     pages = {1109-1116},
     doi = {10.1002/jae.2651},
     url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2651},
     eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2651},
     year = {2018}
   }
   

2. Álvarez-Franco, S. I., D. A. Restrepo-Tobón, and M. Velásquez-Giraldo. (2017): “Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés,” Estudios Gerenciales, 33, 52–63.

   In this article we assess the performance of three interest rate dynamic term structure models in order to estimate the Value at Risk (VaR) of fixed-income portfolios. We find that that the model proposed by Diebold, Rudebusch and Aruoba performs appropriately in VaR backtesting statistical tests, while the model from Diebold and Li and a no-arbitrage akin term structure model display serious problems. The three models assume that the variance-covariance matrix for their underlying factors is constant, which limits their usefulness in estimating the VaR. Therefore, those models that relax this assumption should perform better and be more adequate for risk-management of fixed-income portfolios.

   @article{AlvarezFranco2017eg,
     title = {Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés},
     journal = {Estudios Gerenciales},
     volume = {33},
     number = {142},
     pages = {52 - 63},
     year = {2017},
     issn = {0123-5923},
     doi = {https://doi.org/10.1016/j.estger.2017.02.003},
     url = {http://www.sciencedirect.com/science/article/pii/S0123592317300086},
     author = {Álvarez-Franco, Sara Isabel and Restrepo-Tobón, Diego Alexander and Velásquez-Giraldo, Mateo},
     keywords = {Tasas de interés, Modelos dinámicos, Valor en riesgo, Portafolios de renta fija, Interest rates, Dynamic models, Value at risk, Fixed income portfolios, Taxas de juros, Modelos dinâmicos, Valor em risco, Carteiras de renda fixa}
   }
   

3. Velásquez-Giraldo, M., and D. A. Restrepo-Tobón. (2016): “Modelos afines de la estructura a plazos de tasas de interés: Pronosticando la curva de rendimientos para Colombia,” Lecturas de Economía, , 53–90.

   Superior modeling of the yield curve is useful for asset pricing, financial planning, and risk management. In this article, we estimate five affine term structure models using daily data for Colombia. We find that a three-factor model outperforms the other models in one and five day ahead forecasts. The model factors closely mimic empirical proxies for the level, the slope, and the curvature of the yield curve in Colombia

   @article{VelasquezGiraldo2016le,
     title = {Modelos afines de la estructura a plazos de tasas de interés: Pronosticando la curva de rendimientos para Colombia},
     url = {https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/323675},
     doi = {10.17533/udea.le.n85a02},
     number = {85},
     journal = {Lecturas de Economía},
     author = {Velásquez-Giraldo, Mateo and Restrepo-Tobón, Diego A.},
     year = {2016},
     month = jul,
     pages = {53-90}
   }
   

4. Velásquez-Giraldo, M., J. C. Gutiérrez-Betancur, and P. M. Almonacid Hurtado. (2016): “Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica,” Journal of Economics, Finance and Administrative Science, 21, 73–80.

   Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local multiple optima. These problems are often disregarded in the Colombian market, enough importance is not being given to the calibration process. This study aims to evaluate two non-gradient based methods for solving the non-linear least squares problem: the differential evolution metaheuristic and an incremental search procedure on the non-linear parameters. Comparisons of the results are made in terms of the achieved fit, consistency (for the metaheuristic) and the shapes obtained for the curves. The same procedure is carried out on the Nelson-Siegel-Svensson (NSS) model, evaluating the advisability of its use in the local market.

   @article{VelasquezGiraldo2016jefas,
     title = {Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica},
     journal = {Journal of Economics, Finance and Administrative Science},
     volume = {21},
     number = {41},
     pages = {73 - 80},
     year = {2016},
     issn = {2077-1886},
     doi = {https://doi.org/10.1016/j.jefas.2016.06.003},
     url = {http://www.sciencedirect.com/science/article/pii/S207718861630021X},
     author = {Velásquez-Giraldo, Mateo and Gutiérrez-Betancur, Juan Carlos and Almonacid Hurtado, Paula María},
     keywords = {Búsqueda incremental, Calibración, Curva de rendimientos soberanos, Evolución diferencial, Metaheurístico, Nelson-Siegel-Svensson, Incremental search, Calibration, Sovereign yield curve, Differential evolution, Metaheuristic, Nelson-Siegel-Svensson}
   }
   

Working Papers and Software

1. Velásquez-Giraldo, M. (2021): “Mv77/RiskyContrib: A Two-Asset Savings Model with an Income-Contribution Scheme,”Zenodo.

   This paper develops a two-asset consumption-savings model and serves as the documentation of an open-source implementation of methods to solve and simulate it in the HARK toolkit (Carroll, Kaufman, Kazil, Palmer, and White, 2018). The model represents an agent who can save using two different assets—one risky and the other risk-free—to insure against fluctuations in his income, but faces frictions to transferring funds between assets. The flexibility of its implementation and its inclusion in the HARK toolkit will allow users to adapt the model to realistic life-cycle calibrations, and also to embedded it in heterogeneous-agents macroeconomic models.

   @software{mateo_velasquez_giraldo_2021_4977915,
     author = {Velásquez-Giraldo, Mateo},
     title = {{Mv77/RiskyContrib: A Two-Asset Savings Model with
                        an Income-Contribution Scheme}},
     month = jun,
     year = {2021},
     publisher = {Zenodo},
     version = {v1.0.1},
     doi = {10.5281/zenodo.4977915},
     url = {https://doi.org/10.5281/zenodo.4977915}
   }