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Optimum and Adequate Level of International Reserves

When managing international reserves, central banks generally face the problem of determining what their optimum or adequate level is.  A critical review of some methodologies for calculating the optimum amount of reserves is presented in this document.

Output Gap Estimation, Estimation Uncertainty and Its Effect on Policy Rules

Output Gap Estimation, Estimation Uncertainty and its Effect on Policy Rules


Output Gap Estimation, Estimation Uncertainty and its Effect on Policy Rules

Price-Level Targeting: an omelette that requires breaking some Inflation-Targeting eggs?

Procedural transparency in Latin American central banks under inflation targeting schemes. A text analysis of the minutes of the Boards of Directors

The disclosure of the minutes of the Boards of Directors of central banks (procedural transparency within the inflation targeting (IT) literature) implies the challenge of sending a clear message. Regardless of whether the document released is a brief, moderate, or highly detailed (verbatim)...

Public Savings and the Effectiveness of Sterilized Foreign Exchange Intervention

Abstract

Risk, Aggregate Demand, and Commodity Prices: An Application to Colombia

We embed a small open economy model for Colombia into the global risk model of Gómez-Pineda, Guillaume, and Tanyeri (2014). The small open economy model is estimated by Bayesian methods and used for analysis and projections. The model enable us to give a consistent treatment of shocks to global...

Simultaneous Monetary Policies in the Context of the Trilemma: Evidence from the Central Bank of Turkey

Many central banks that have opted for monetary autonomy have also been reluctant to relinquish control over the value of their currencies. As a result, they have operated through both interest rate and foreign exchange interventions.  However, in the context of the monetary trilemma, both...

Sovereign Risk and Real Business Cycles in a Small Open EconomyMacroeconomic

This paper investigates the effect of sovereign risk on the stochastic rational expectations equilibrium of a real business cycle small open economy. The market is imperfect because the sovereign cannot commit to repay its outstanding debt and chooses to default when it is optimal to do so. The...

Spillovers of the ECB's non-standard monetary policy into CESEE economies

In this paper we provide evidence that ECB's asset purchase programmes spill over into CESEE countries contributing to easing their financial conditions, both in the short- and in the long-term through different transmission channels. In the short run, a selected number of financial variables in...

State-dependent Forward Guidance and the Problem of Inconsistent Announcements

Florez-Jimenez and Parra-Polania (2016) show that unconditional forward guidance (FG) performs poorly except in the most extreme zero lower-bound (ZLB) events and that for any ZLB situation it is better to resort to state-dependent (threshold-based) FG. The model of that paper is solved under...

Supplementary Material for “The Effects of Foreign Exchange Intervention: Evidence from a Rule-Based Policy in Colombia”

This Appendix provides a more detailed discussion of the technical results, including proofs of theorems reported in the main paper. For ease of reference notation and definitions are repeated from the main paper.

 

SYSMO I: A Systemic Stress Model for the Colombian Financial System

 

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.

 

Systemic Importance Index for Financial Institutions: A Principal Component Analysis Approach

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions’ systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a non-trivial...

Systemic Risk, Aggregate Demand, and Commodity Prices

The paper presents a global model for analysis and projections. The model features a handful of elements that make it suitable for analyzing three broad sets of topics; first, systemic risk and its transmission to country risk premiums; second, the transmission from country risk premiums to...

The Colombian Economy in the Nineties: Capital Flows and Foreign Exchange Regimes

The Effects of Foreign Exchange Intervention: Evidence from a Rule-Based Policy in Colombia

Abstract: We investigate the effectiveness of foreign exchange interventions using the Colombian experience as a case study. Recent theoretical work emphasizes the importance of financial sector balance sheets and capital flows in determining the effects of currency...

The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru

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 non-...

The Fall in Colombian Savings During the 1990s. Theory and Evidence

This After 1991 Colombia witnessed a sharp fall in the national savings rate (see figure 1.1), and in particular that of the private sector. Two hypotheses have been advanced for explaining this behavior. The first one stresses consumption smoothing within the Perrnanent Income Hypothesis...

The Impact of Different Types of Foreign Exchange Intervention: An Event Study Approach

To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of...

The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate

The adoption of a managed regime assumes that interventions are relatively successful. However, while some authors consider that foreign exchange interventions are ineffective, arguing that domestic and foreign assets are close substitutes, others advocate their use and maintain that their...

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