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,...

Este documento analiza la relación existente entre la deuda externa pública y la inversión privada para Colombia entre 1994 y 2007, a partir del modelo de series de tiempo no lineales TAR. La estimación del modelo se realizó a través de los métodos MCMC y el enfoque bayesiano. Los...

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 individual models using expert forecasts as prior...

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...

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...

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...

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 financial accelerator mechanism á la Bernanke, Gertler, and Gilchrist (1999)? To answer this question, this paper estimates a dynamic stochastic general...

Using Bayesian estimation techniques, we estimate a small open economy DSGE model with credit-market imperfections for the Colombian economy. Using the estimated model we investigate what are the sources of business cycle fluctuations. We show that balance-sheet effects play an important role in...

En este documento se propone utilizar la metodología de perfiles coincidentes propuesta por Martínez (2010), con el fin de determinar si un conjunto de indicadores obtenidos de encuestas de opinión y otras fuentes son coincidentes o líderes de los indicadores económicos observables y, que...

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...