An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series

Fernando Uscátegui (), Mike Woodcock () and Carlos Méndez ()

No 14168, Econógrafos, Escuela de Economía from Universidad Nacional de Colombia, FCE, CID

Abstract: Monetary policy has been important as a tool at maintaining dynamic stability on inflation rate, an increasing growth rate and several changes in financial variables. The trend in those macroeconomic variables could be accounted for a straightforward or roundabout change in monetary policy tools. Hence, in this paper, we will present a historical trend about macroeconomic variables which change with monetary policy effects and we will use multivariate time series analysis which could give us empiric evidence to explain the impact of monetary policy in these variables. First, there will be a brief introduction about the importance of the subject will be made. Second, it will take place the description of the variables and a brief state of art for each variable analyzing the current literature in the subject. Third, it will be carried out all the subjects regarding the construction of two econometric models, VAR model and M-GARCH model, anyone not interested in this part is encourage to skip that section and continue reading the next section. Finally, it will be shown the final remarks and the conclusion of this paper.

Keywords: Monetary policy; Risk balance; macroeconomic variables; VAR modeling; MGARCH modeling (search for similar items in EconPapers)
JEL-codes: C39 C58 E43 E44 E47 E5 (search for similar items in EconPapers)
Pages: 51
Date: 2015-12-29
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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