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Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case
Melo, Luis Fernando; Maya, Rubén Albeiro Loaiza - BANCO DE LA REPÚBLICA - 2012
Typically, when forecasting inflation rates, there are a variety of individual models and a combination of several of … these models. We implement a Bayesian shrinkage combination methodology to include information that is not captured by the …, these results outperform shrinkage forecasts that consider other priors as equal or zero weights. …
Persistent link: https://www.econbiz.de/10010763698
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Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets
Lozano, Ignacio; Guarín, Alexander - BANCO DE LA REPÚBLICA - 2014
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...
Persistent link: https://www.econbiz.de/10010765009
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Forecasting With Many Predictors. An Empirical Comparison
González, Eliana - BANCO DE LA REPÚBLICA - 2011
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...
Persistent link: https://www.econbiz.de/10008854047
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Bayesian Model Averaging. An Application to Forecast Inflation in Colombia
González, Eliana - BANCO DE LA REPÚBLICA - 2010
likelihood outperformed the ones obtained when using marginal likelihood. BMA forecasts reduce forecasting error compared to the …
Persistent link: https://www.econbiz.de/10008465231
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Bayesian Model Averaging. An Application to Forecast Inflation in Colombia
González, Eliana - BANCO DE LA REPÚBLICA - 2010
likelihood outperformed the ones obtained when using marginal likelihood. BMA forecasts reduce forecasting error compared to the …
Persistent link: https://www.econbiz.de/10008465232
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Bayesian Model Averaging. An Application to Forecast Inflation in Colombia
González, Eliana - BANCO DE LA REPÚBLICA - 2010
likelihood outperformed the ones obtained when using marginal likelihood. BMA forecasts reduce forecasting error compared to the …
Persistent link: https://www.econbiz.de/10008465233
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An Introductory Review of a Structural VAR-X Estimation and Applications
Ocampo, Sergio; Rodríguez, Norberto - BANCO DE LA REPÚBLICA - 2011
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,...
Persistent link: https://www.econbiz.de/10009404507
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DEUDA EXTERNA PÚBLICA E INVERSIÓN EN COLOMBIA 1994-2007: Evidencia de un Modelo No-Lineal TAR
Salamanca, Andrés; Monroy, Viviana - BANCO DE LA REPÚBLICA - 2008
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...
Persistent link: https://www.econbiz.de/10005597654
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MEDIDAS DE RIESGO FINANCIERO USANDO CÓPULAS: TEORÍA Y APLICACIONES
Becerra, Oscar; Melo, Luis Fernando - BANCO DE LA REPÚBLICA - 2008
Este documento realiza una descripción de las medidas de dependencia consus principales ventajas y desventajas y presenta a la cópula como una estructura flexibleque permite caracterizar diferentes tipos de dependencia. Adicionalmente, introduce eluso de la cópula en la medici´on de riesgo...
Persistent link: https://www.econbiz.de/10005262736
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IDENTIFYING FISCAL POLICY SHOCKS IN CHILE AND COLOMBIA
Restrepo, Jorge E.; Rincón, Hernán - BANCO DE LA REPÚBLICA - 2006
Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a pesofor- peso ($/$) effect on output of a shock to public spending and to...
Persistent link: https://www.econbiz.de/10005262765