C22


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A Nonlinear Specification of Demand for Narrow Money in Colombia

A nonlinear specification of demand for cash in Colombia


A nonlinear specification of demand for cash in Colombia   By
Luis E. Arango and Andrés González(1)

Basic Indicators of Colombian Stock Market Development

Recent months have seen a much larger influx of funds into the Colombian stock market. For example, pension fund mangers (PFM) added Col$5.84 trillion (t) to their stock market investments between 2002 and 2006 (Financial Market Superintendent, 2007), and foreign portfolio investments (short and...

Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates

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....

Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case

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...

Beyond Bubbles: The role of asset prices in early-warning indicators

Asset price bubbles are amongst the most talked-about yet misunderstood topics in economics. Theoretical researchers debate between rational, nonrational or even non-existent bubbles, while empiricists tackle the issue with state-of-the-art econometric tools yielding mixed results.

Colombian Economic Growth under Markov Switching Regimes with Endogenous Transition Probabilities

 

Credit Supply Determinants in the Colombian Financial Sector

Elements of both supply and demand interact during a financial crisis, which explains the precarious growth in credit. Nonetheless, it is important that demand-side incentives be generated ex post. These also help to reactivate loans by fueling the supply of credit. The latter usually remains...

Data Revisions and the Output Gap

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...

Depressions in the Colombian economic growth during the XX century: A Markov Switching Regime Model

In this paper, we modeled the Colombian long run economic growth (1925-2003) using a two- regime first order Markov switching model. We found evidence of non-linearity in the annual rate of economic growth. The results show that changes between regimes are sudden and sporadic. The Colombian...

Dynamic Connectedness and Causality between Oil prices and Exchange Rates

We study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets....

Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach

 

Expansions and contractions in Brazil, Colombia and Mexico: a view through non-linear models

The study of the asymmetric behavior of macroeconomic variables over the business cycles phases has had a long tradition in economics. In this work we find evidence in favor of the hypothesis of having a STAR-type nonlinear asymmetric behavior of the economic activity, over the last two decades...

Forecasting Annual Inflation with Power Transformations: The Case of Inflation Targeting Countries

This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as the univariate time series ARIMA . This...

Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case

 

Foreign Exchange Intervention Revisited: A New Way of Estimating Censored Models

Most of the literature on the effectiveness of foreign exchange intervention has yet to reach a general consensus. In part, this is due to the different estimation methods in which exogenous variation is identified. In this sense, the use of heavily-dependent parametric models can sometimes...

I know what you did during the last bubble: Determinants of housing bubbles' duration in OECD countries

We use hazard models to study the determinants of housing price bubbles’ duration. We answer two related questions: i). Does prolonged domestic monetary policy easing increase the duration of housing price bubbles? And, ii). Does prolonged monetary policy easing in the US influences housing...

Modeling Data Revisions

A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's [13] in two ways. First, the "true" data series is observable up to a fixed period of time M. And second, preliminary figures might be biased estimates of the true series. Otherwise,...

Modelling autoregressive processes with a shifting mean

 
This paper contains a nonlinear, nonstationary autoregressive model whose intercept changes deterministically over time. The intercept is a flexible function of time, and its construction bears some resemblance to neural network models. A modeling technique, modified from one for single...

Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate

This paper provides evidence of long run purchasing power parity by performing a recently developed method to test for unit roots in the presence of structural breaks. Data consist of real exchange rate series for 20 countries including developed and developing economies. Structural breaks are...

Returns and Interest Rate: A Nonlinear Relationship in the Bogota Stock Market

Returns and interest rate: A nonlinear relationship in the Bogotá stock market   Returns and interest rate: A nonlinear relationship in the Bogotá stock market   Luis Eduardo Arango, Andrés González, and Carlos Esteban Posada *  Banco de la República  Summary    This work presents some...

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This content has been translated into English for informational purposes. Upon any query regarding its interpretation or enforceability, the Spanish version shall be deemed official, and will prevail over the English version. The authors of specific texts such as working papers or articles select the language of publication; therefore, there might be cases in which the content may only be available in English. Este contenido ha sido traducido al inglés con fines informativos. En caso de duda sobre su interpretación y/o aplicación, se entenderá que la versión en español es la versión oficial y prevalecerá sobre aquella en inglés. Para casos particulares como documentos de trabajo o artículos, el idioma original de publicación es escogido por el autor, por lo cual puede haber casos en los que el contenido esté disponible sólo en inglés.  

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