4GM: A New Model for the Monetary Policy Analysis in Colombia

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Borradores de Economía; No.1106
Date published
2020-02-21
Date of last update
2020-02-21
Author
González-Gómez, Andrés
Guarín-López, Alexander
Rodríguez, Diego
Vargas-Herrera, Hernando
Document language
eng
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
 
The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.
 
Summary
En este documento se presenta el 4GM, un modelo semi-estructural para el análisis de política monetaria y el pronóstico macroeconómico en Colombia. El modelo sigue un enfoque Neo-Keynesiano con expectativas racionales para una economía pequeña y abierta exportadora de petróleo. En el artículo, presentamos la estructura del modelo, y examinamos la respuesta de sus variables a choques domésticos, externos y al precio del petróleo. Además, evaluamos el 4GM en términos de su descomposición histórica de choques y su pronóstico fuera de muestra.
Abstract
This paper introduces 4GM, a semi-structural model for monetary policy analysis and macroeconomic forecasting in Colombia. This model is based on a New-Keynesian rational expectation framework for an oil-exporting small open economy. In this paper, we present the model structure and examine the response of its variables to domestic, foreign and oil-price shocks. Further, we assess 4GM in terms of its historical shock decomposition and its out-of-sample forecasting.
JEL Codes
E17 - General Aggregative Models: Forecasting and Simulation: Models and ApplicationE37 - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and ApplicationE47 - Money and Interest Rates: Forecasting and Simulation: Models and ApplicationE52 - Monetary PolicyE58 - Central Banks and Their Policies
Subject
Modelo semi-estructural ; Política monetaria ; Pronóstico macroeconómico ;
Keywords
Semi-structural model ; Monetary policy ; Macroeconomic forecasting ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/9812
https://hdl.handle.net/20.500.12134/9812
https://doi.org/10.32468/be.1106
https://ideas.repec.org/p/bdr/borrec/1106.html
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