La tasa de interés natural en Colombia

Echavarría-Soto, Juan José; López-Enciso, Enrique Antonio; A., Martha Misas; Téllez-Corredor, Juana Patricia; Echavarría, Juan José

doi:10.32468/be.412

Cited by 5 publications

(2 citation statements)

References 14 publications

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“…Most of the literature about the natural interest rate estimation uses one of two approaches: statistical filters 1 (Basdevant et al, 2004;Cuaresma et al, 2004) and semistructural models (Laubach and Williams, 2003;España, 2008;Castillo et al, 2006;Echavarría et al, 2007). A survey of both approaches to estimate the NIR is presented by González 1 Introduction 2 et al (2010).…”

Section: Introductionmentioning

confidence: 99%

Constant-interest-rate projections and its indicator properties

Bustamante¹,

Rojas²

2012

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This paper propose indicator variables for the implementation of monetary policy in an inflation targeting regime. Using constant interest rate projections, the notion of a target-compatible interest rate is presented. This variable allows to extract some characteristics that the expected future path of the interest rate have to fulfill in order to be compatible with the target. The specific formulation of the target-compatible interest rate is presented under alternative assumptions over the forecasting horizon (unconditional or conditional forecasts) and the objective of the monetary authority (inflation target or a loss function). The empirical counterpart of the various formulations is shown using a DSGE model for Colombia; a small open economy with an inflation targeting regime. (Rojas).1 These estimations do not have a particular model, for example, linear detrending, moving averages, unobserved components models, multivariate Hodrick-Prescott filters, etc.

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Section: Introductionmentioning

confidence: 99%

Constant-interest-rate projections and its indicator properties

Bustamante¹,

Rojas²

2012

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“…In the Colombian case, Echavarría et al [2006] estimate the NIR based on the work of Laubach and Williams [2001], using quarterly data for the period 1982 Q1 to 2005 Q4. It is a closed economy model since it does not incorporate relationships of the interest rates across countries.…”

Section: Introductionmentioning

confidence: 99%

Estimations of the natural rate of interest in Colombia

González-Molano¹,

Melo‐Velandia²,

Rojas³

et al. 2010

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Three methodologies to estimate the natural interest rate, NIR, are implemented for the Colombian economy. Two methods are statistical filters and the third involves some economic theory. The first method is based on unobserved components decomposition of the real interest rate and explores the statistical characteristics of the data. The second is a multivariate version of the Hodrick-Prescott filter augmented by an economic relationship, HPMV. The NIR in both cases is defined as the trend component of the market real interest rate; then, the NIR may be considered as a long-run real interest rate anchor for monetary policy. The third method consists in estimating a semi-structural model for a small open economy. In this case the NIR is defined as the interest rate that does not affect the output dynamics in the short run and assures output and inflation convergence to their long run equilibriums. This implies that the NIR is a medium-run anchor for monetary policy. Three features are observed in the dynamics of the NIR estimates for the period 2000-2009. The first part of the sample (2000)(2001)(2002)(2003) shows a downward trend, followed by a period of stabilization and upward trend (2004)(2005)(2006)(2007)(2008) and at the end of the sample the NIR start decreasing again. The NIR in the last quarter of the sample, 2009Q2, is around 3.1 in average.

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Output gap and Neutral interest measures for Colombia based on semi-structural models

Díaz

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In this paper two new measures of the Colombian output gap and the real neutral interest rate are proposed. Instead of relying only on statistical filters, the proposed measures use semistructural New-Keynesian models, adapted for a small open economy. The output gap measures presented are in line with previous works for Colombia and capture all the turning points of the Colombian business cycle, as measured by Alfonso et al. (2011). They are also strongly correlated with inflation and precede its movements along the sample. The neutral interest rate computed indicates that the monetary policy stance has been overall countercyclical, but has failed to anticipate the output gap's movements, or at least react strongly enough to them.

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La tasa de interés natural en Colombia

Cited by 5 publications

References 14 publications

Constant-interest-rate projections and its indicator properties

Constant-interest-rate projections and its indicator properties

Estimations of the natural rate of interest in Colombia

Output gap and Neutral interest measures for Colombia based on semi-structural models

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