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  • Colombian inflation forecast using Long Short-Term Memory approach

    Publicación |
    Abstract

    We use Long Short Term Memory (LSTM) neural networks, a deep learning technique, to forecast Colombian headline inflation one year ahead through two approaches. The first one uses only information from the target variable, while the second one incorporates additional information from…

  • An Asset Allocation Framework with Tranches for Foreign Reserves

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    This document explores an alternative strategic asset allocation framework for foreign exchange reserves, whose main purpose is to maximize the risk-adjusted returns maintaining the objectives of liquidity and safety of a foreign reserves’ portfolio.   The overall portfolio can be…

  • Monetary policy implications for an oil-exporting economy of lower long-run international oil prices

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    The sudden collapse of oil prices poses a challenge to inflation targeting central banks in oil exporting economies. This paper illustrates that challenge and conducts a quantitative assessment of the impact of permanent changes in oil prices in a small and open economy, in which oil represents…

  • Cash Management and Payment Choices: A Simulation Model with International Comparisons

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    Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size…

  • Overcoming the Forecasting Limitations of Forward-Looking Theory Based Models

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    Theory-consistent models have to be kept small to be tractable. If they are to forecast well, they have to condition on data that are unmodelled, noisy, patchy and about the future. Agents can also use these data to form their own expectations. In this paper we illustrate a scheme for jointly…

  • Commodity Booms, Dutch Disease, and Real Business Cycles in a Small Open Economy: The Case of Coffee in Colombia

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    Este documento propone un modelo multisectorial de crecimiento, dinámico y estocástico que integra la literatura de ciclo económico real con la de economías con sectores en bonanza y enfermedad holandesa para analizar fluctuaciones, asignación de recursos y los cambios en precios relativos en…

  • Testing a DSGE model and its partner database

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    There is now an impetus to apply dynamic stochastic general equilibrium models to forecasting. But these models typically rely on purpose-built data, for example on tradable and nontradable sector outputs. How then do we know that the model will forecast well, in advance? We develop an early…

  • Monetary Policy Forecasting in a DSGE Model with Data that is Uncertain, Unbalanced and About the Future

    Publicación |

     If theory-consistent models can ever hope to forecast well and to be useful for policy, they have to relate to data which though rich in information is uncertain, unbalanced and sometimes forecasts from external sources about the future path of other variables. One example from many is…