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Ítem Effect of the intermittency of non-conventional renewable energy sources on the volatility of the Colombian spot price(Elsevier, 2024-07-24) Cardona-Vasquez, David; Garcia-Rendon, John; Arango-Manrique, Adriana; Graz University of Technology; Universidad EAFIT; Universidad Del NorteThis paper explores one of the side effects and challenges that integrating non-conventional renewable energy sources poses to the Colombian electricity market, the spot price volatility which is directly related to financial risk. We propose a vector error correction model that allows an integrated and dynamic modelling of the offer-side of the spot market by considering bid prices, available energy, renewable energy production and the spot price. To validate the model, we performed statistical tests on the residuals of the model and back-testing. The results show that given a one standard deviation shock in renewable energy production from non-conventional sources, the spot price volatility increases from 12.7 % to 14.5 % in a 365-day horizon, which represents a relative increase of 14.2 %. Also, when evaluating different renewable energy integration scenarios and the official system expansion, we see that assuming 100 % fulfilment of the non-conventional sources integration plan, the volatility goes up to 31.2 % vs. 12.3 %. It is also worth noting that if the plan is fulfilled up to 25 % there is no significant increase in spot price volatility, which can be justified by the simultaneous expansion of conventional sources that compensate for the effects of non-conventional renewable sources.Ítem Testing Model Specification in Approximate Bayesian Computation Using Asymptotic Properties(Taylor & Francis, 2024-06-24) Ramírez-Hassan, Andrés; Universidad EAFITWe present a novel procedure to diagnose model misspecification in situations where inference is performed using approximate Bayesian computation (ABC). Unlike previous procedures, our proposal is based on the asymptotic properties of ABC. We demonstrate theoretically, and empirically that our procedure can consistently detect the presence of model misspecification. The examples demonstrate that our proposal shows good finite-sample properties, outperforming existing approaches. An empirical application to modeling exchange rate log returns using a g-and-k distribution completes the article. Supplementary materials for this article are available online.Ítem Real exchange rates and manufacturing exports in emerging economies: the role of sectoral heterogeneity and product complexity(Springer, 2024-01-02) Goda, Thomas; Torres Garcia, Alejandro; Larrahondo, Cristhian; Universidad EAFIT; BIDThe empirical evidence on the relationship between the real exchange rate and export performance in emerging economies is inconclusive. In this paper, we present evidence that one reason for this inconclusiveness is the use of real exchange rate (RER) measures that do not consider the heterogeneity between economic sectors. To this end, we calculate a unique sectoral bilateral RER index (SBRER) for 12 Latin American economies, which considers the variation of producer price differentials and bilateral nominal exchange rates across 21 manufacturing sectors and 38 trade partners between 2001–2018, and to estimate the effect of SBRER movements on manufacturing exports. The regression results show that the SBRER is a significant determinant of aggregate manufacturing exports, whereas the bilateral RER is not significant. Moreover, sectoral export elasticities indicate that mainly sectors with low levels of product complexity and, to a lesser extent, those of medium complexity are affected by RER movements. These findings show that it is important to consider sectoral heterogeneity when estimating RER export elasticities from a macroeconomic perspective.