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Combinación de brechas del producto colombiano
Beltrán, Paulo Mauricio Sánchez; Velandia, Luis … - BANCO DE LA REPÚBLICA - 2013
Este documento combina estimaciones de ocho metodologías de la brecha del producto colombiano para el período comprendido entre el primer trimestre de 1994 y el tercer trimestre de 2012. A partir de modelos VAR que incluyen las diferentes brechas y la inflación se construyen las densidades...
Persistent link: https://www.econbiz.de/10010763643
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Determinants of the Exchange Rate in Colombia under Inflation Targeting
Estrada, Fredy Alejandro Gamboa - BANCO DE LA REPÚBLICA - 2011
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 …-Price Monetary Model and the Taylor Rule model that includes the real exchange rate. In addition, out of sample forecasting …
Persistent link: https://www.econbiz.de/10008799758
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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
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Bayesian Model Averaging. An Application to Forecast Inflation in Colombia
González, Eliana - BANCO DE LA REPÚBLICA - 2010
inflation for the short and medium run. A model selection algorithm is applied over a set of linear models with a large dataset … 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
inflation for the short and medium run. A model selection algorithm is applied over a set of linear models with a large dataset … 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
inflation for the short and medium run. A model selection algorithm is applied over a set of linear models with a large dataset … 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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La formación de expectativas de inflación en Colombia
Campos, Carlos Huertas; Molano, Eliana González; … - BANCO DE LA REPÚBLICA - 2015
En este documento se analiza el mecanismo de formación de las expectativas de inflación en Colombia usando diferentes medidas de esta variable a uno y dos años. Los resultados indican que las expectativas se forman de manera adaptativa y racional. Hay evidencia que soporta la hipótesis de...
Persistent link: https://www.econbiz.de/10011255395
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Montecarlo simulation of long-term dependent processes: a primer
Rincón, Carlos León; Reveiz, Alejandro - BANCO DE LA REPÚBLICA - 2011
applications of FBM simulation include market, credit and liquidity risk models, option valuation techniques, portfolio …
Persistent link: https://www.econbiz.de/10008918515
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An Early Warning Model for Predicting Credit Booms using Macroeconomic Aggregates
Guarín, Alexander; González, Andrés; Skandalis, Daphné - BANCO DE LA REPÚBLICA - 2012
In this paper, we propose an alternative methodology to determine the existence of credit booms, which is a complex and crucial issue for policymakers. In particular, we exploit the Mendoza and Terrones (2008)´s idea that macroeconomic aggregates other than the credit growth rate contain...
Persistent link: https://www.econbiz.de/10010763677
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Great expectations? Evidence from Colombia´s exchange rate survey
Echavarría, Juan José; Villamizar, Mauricio - BANCO DE LA REPÚBLICA - 2012
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