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

Andres Gonzalez (), Alexander Guarín López (), Diego Rodriguez () and Hernando Vargas-Herrera ()

Borradores de Economia from Banco de la Republica de Colombia

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. **** RESUMEN: 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 NeoKeynesiano 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.

Keywords: Semi-structural model; monetary policy; macroeconomic forecasting; modelo semi-estructural; política monetaria; pronóstico macroeconómico (search for similar items in EconPapers)
JEL-codes: E17 E37 E47 E52 E58 (search for similar items in EconPapers)
Pages: 23
Date: 2020-02
New Economics Papers: this item is included in nep-dge and nep-mac
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https://doi.org/10.32468/be.1106

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Working Paper: 4GM: A New Model for the Monetary Policy Analysis in Colombia (2020) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:1106

DOI: 10.32468/be.1106

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