This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by bayesian and maximum likelihood methods is presented. Applications of the structural VAR-X for impulse response functions to structural shocks,...

Using Bayesian estimation techniques, we estimate a small open economyDSGE model with credit-market imperfections for the Colombian economy. Us-ing the estimated model we investigate what are the sources of business cycle°uctuations. We show that balance-sheet e®ects play an important role in...

Este documento analiza la relación existente entre la deuda externa pública y la inversiónprivada para Colombia entre 1994 y 2007, a partir del modelo de series de tiempo no linealesTAR. La estimación del modelo se realizó a través de los métodos MCMC y el enfoquebayesiano. Los resultados...

In this paper, we study the empirical relationship between credit funding sources and the financial vulnerability of the Colombian banking system. We propose a statistical model to measure and predict banking-fragility episodes associated with credit funding sources classified into retail...

Despite foreign reserves´ strategic asset allocation relies mainly on Modern Portfolio Theory (MPT), the unique characteristics of central banks obliges them to articulate and reconcile typical optimization procedures with reserves´ management objectives such as providing confidence regarding...

Three methodologies of estimation of models with many predictors are implemented to forecast Colombian inflation. Two factor models, based on principal components, and partial least squares, as well as a Bayesian regression, known as Ridge regression are estimated. The methodologies are compared...

Typically, central banks use a variety of individual models (or a combination of models) when forecasting inflation rates. Most of these require excessive amounts of data, time, and computational power; all of which are scarce when monetary authorities meet to decide over policy interventions....

El gobierno es un agente que influye sobre la actividad económica a lo largo del ciclo y afecta las variables reales y nominales de un país por medio de sus políticas de ingreso y de gasto. También es un determinante importante de la estabilidad macroeconómica, en cuanto que esta depende,...

Colombia experienced a deep recession in 1999-2003. Growth slowed by 4.2%,and investment by 34.6%. Was the severity of the recession due to a ¯nan-cial accelerator mechanism µa la Bernanke, Gertler, and Gilchrist (1999)? Toanswer this question, this paper estimates a dynamic stochastic general...

An application of Bayesian Model Averaging, BMA, is implemented to construct combined forecasts for the colombian inflation for the short and medium run. A model selection algorithm is applied over a set of linear models with a large dataset of potencial predictors using marginal as well as...