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Whose Balance Sheet is this? Neural Networks for Banks’ Pattern Recognition

The balance sheet is a snapshot that portraits the financial position of a firm at a specific point of time. Under the reasonable assumption that the financial position of a firm is unique and representative, we use a basic artificial neural network pattern recognition method on Colombian banks...

Understanding, Measuring and Forecasting “El Niño” Effect on Food Prices: The Case of Colombia

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.

 

Pricing the exotic: Path-dependent American options with stochastic barriers

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. 

On Forecast Evaluation

We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast accuracy should be assessed through...

Nowcasting of food price variation via mixed frequency models

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.

 

Nowcasting economic activity with electronic payments data: A predictive modeling approach

 

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.

 

Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches

Abstract

 

Multipliers of taxes and public spending in Colombia: SVAR and Local Projections approaches

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.

 

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,...

Identifying Fiscal Policy Shocks in Chile and Colombia

Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a peso-for-peso ($/$) effect on output of a shock to public spending and to...

Great Expectations? Evidence from Colombia’s Exchange Rate Survey

In this document we use the Expectations Survey conducted monthly by the Central Bank of Colombia during the period of October 2003 – August 2012. We find that exchange rate revaluations were generally followed by expectations of further revaluation in the short run (1 month), but by...

Forecasting the Colombian Unemployment Rate Using Labour Force Flows

 

The opinions contained in this document are the sole responsibility of the authors and do not commit Banco de la República or its Board of Directors.

 

 

Finance neutral potential output: an evaluation on an emerging market monetary policy context

In this paper output gaps that include financial cycle information are evaluated against models used in policy analysis by the Colombian central bank. Employing this dataset is no trivial matter, since policy related models are the only relevant yardstick, and emerging economies (such as...

Ensayos sobre Política económica – ESPE 100: What do surveys tell us about the formation of inflation expectations?

Abstract

Early warning indicators for the private corporate sector in Colombia

The opinions contained in this document are the sole responsibility of the authors and do not commit Banco de la República or its Board of Directors

 

Detecting anomalous payments networks: A dimensionality reduction approach

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.

 

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...

Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies

This paper proposes an empirical model to identify and forecast banking fragility episodes using information on the credit funding sources. We predict the probability of occurrence of such episodes 0, 3 and 6 months ahead employing a Bayesian Model Averaging of logistic regressions. The...

Comparison of Methods for Estimating the Uncertainty of Value at Risk

Value at Risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities. There is a variety of methodologies proposed in the literature for the estimation of VaR. However, few of them get to say something about its distribution or its confidence intervals....

Characterizing and Communicating the Balance of Risks of Macroeconomic Forecasts: A Predictive Density Approach for Colombia

Abstract

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