In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mean and “volatility smile” return...

This paper presents a dynamic stochastic general equilibrium model of inflation targeting in small open economy. We calibrate the model to the Colombian economy and present the response of some macroeconomic variables to different types of shocks that are relevant for emerging economies. We also...

The authors propose a short run model for the monetary transmission mechanism in which the output gap is modelled as an unobserved variable. By estimating this model using maximum likelihood on a Kalman Filter, the authors find an estimate of the unobserved output gap as well as its estimation...

Preliminary and delayed Colombian GDP reports are replaced with optimal in-sample now-casts of true" GDP figures derived from a model for data revisions. The new GDP time series is augmented with optimal out-of-sample forecasts and back-casts of the "true" GDP figures derived from the same...

This paper analyses the effects of sterilised, intraday foreign exchange market operations (non-discretionary and discretionary) on foreign exchange returns and volatility in four inflation targeting economies in Latin America. The distribution of exchange rates during intervention and...

The authors propose a short run model for the monetary transmission mechanism in which the output gap is model as an unobserved variable. By estimating this model using maximum likelihood on a Kalman Filter, the authors find an estimate of the unobserved output gap as well as its estimation...

In this paper we explore the price setting behaviorof Colombian producers and importers using a unique database containing the monthly price reportsunderlying the Colombian PPI from Jun-1999 to Oct-2006. We focus on five particular questions: 1. Are prices sticky or flexible? 2. Is a price...

A pesar de que en Colombia se acepta la intuición de que "el nivel medio de la inflación anual no cambia durante lapsos de tiempo muy largos", también parece tener alguna acogida la afirmación que esta "tiene una raíz unitaria". La percepción general se basa en que desde 1954 hasta 1971 la...

This paper presents a dynamic stochastic general equilibrium model of inflation targeting in small open economy. We calibrate the model to the Colombian economy and present the response of some macroeconomic variables to different types of shocks that are relevant for emerging economies. We also...

En este artículo se discute la importancia de la curva spot (cero cupón), así como las consideraciones que deben realizarse para escoger un conjunto de métodos de estimación que suplan las múltiples necesidades a las que se enfrenta un inversionista o especulador - valoración de activos y...