Showing 1 - 10 of 65
This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests of a forecasting equation which is derived from a consumption-based asset pricing model. In this model, the real exchange rate is predictable as a result of the implications of...
Persistent link: https://www.econbiz.de/10011098121
We embed a small open economy model for Colombia into the global risk model of Gómez-Pineda, Guillaume, and Tanyeri (2014). The small open economy model is estimated by Bayesian methods and used for analysis and projections. The model enable us to give a consistent treatment of shocks to global...
Persistent link: https://www.econbiz.de/10011106023
El comercio colombo-venezolano ha experimentado desde los años setenta varias fases de auge y crisis, pero su etapa de crecimiento más importante fue la registrada entre 2004 y 2009. Este crecimiento del comercio se dio en respuesta de una serie de políticas y acontecimientos económicos a...
Persistent link: https://www.econbiz.de/10008465234
In this document we use the Expectations Survey conducted monthly by the Central Bank of Colombia during the period of October 2003 - August 2012. We find that exchange rate revaluations were generally followed by expectations of further revaluation in the short run (1 month), but by...
Persistent link: https://www.econbiz.de/10010763679
This research studies the forecasting performance of conventional and more recent exchange rate models in Colombia. The purpose is to explain which have been the main exchange rate determinants under an Inflation Targeting regime and a completely floating exchange rate scheme. Compared to...
Persistent link: https://www.econbiz.de/10008799758
There is now an impetus to apply dynamic stochastic general equilibrium models to forecasting. But thesemodels typically rely on purpose-built data, for example on tradable and nontradable sector outputs.How then do we know that the model will forecast well, in advance? We develop an early...
Persistent link: https://www.econbiz.de/10005466436
This document analyzes the macroeconomic effects of a boom in a small-open economy’s natural-resource sector. We study the effects of this shock on the most important macroeconomic variables, the resource reallocation across sectors and on welfare under alternative fiscal rules. We employ a...
Persistent link: https://www.econbiz.de/10010765005
If theory-consistent models can ever hope to forecast well and to be useful for policy, theyhave to relate to data which though rich in information is uncertain, unbalanced and sometimes forecastsfrom external sources about the future path of other variables. One example from many is financial...
Persistent link: https://www.econbiz.de/10004990998
In this paper, we propose a methodology for calculating a leading index of the economic activity based on a modification of Stock and Watson’s (1989, 1991, 1992) approach. We use Kalman filter techniques for estimating the state space representation of the leading index model. The methodology...
Persistent link: https://www.econbiz.de/10005466441
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....
Persistent link: https://www.econbiz.de/10011078540