Policy analysis tool applied to colombian needs: PATACON model description

González-Gómez, Andrés; Mahadeva, Łavan; Prada-Sarmiento, Juan David; González, Andrés; Rodríguez-Guzmán, Diego Arturo

doi:10.32468/be.656

Cited by 10 publications

(8 citation statements)

References 25 publications

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“…Chile stands out from the other countries where the counterfactual volatility actually increases above the observed one, implying that in this country other shocks have helped smooth out the massive volatility coming from commodity prices. 34…”

Section: Business Cycle Driversmentioning

confidence: 99%

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Fernández¹,

González-Gómez²,

Rodríguez-Guzmán³

2015

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Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a spillover effect from commodity prices to risk premia.

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Section: Business Cycle Driversmentioning

confidence: 99%

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Fernández¹,

González-Gómez²,

Rodríguez-Guzmán³

2015

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“…θ j for j = n, r are set to 4 to be consistent with steady states hours worked. The elasticity of substitution η c and η x are fixed at 0.9 and 0.5 according with estimates by González et al (2011). The depreciation rate, δ, is 0.035 to be consistent with the long-run ratio of investment to GDP, implying a 14% annual depreciation rate.…”

Section: Calibrationmentioning

confidence: 99%

Fiscal policy in a small open economy with oil sector and non-ricardian agents

González-Gómez¹,

Rodríguez-Niño²,

Téllez³

et al. 2013

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In this paper we develop a dynamic stochastic general equilibrium fiscal model for the Colombian economy. The model has three main components: the existence of non-Ricardian households, price and wage rigidities, and a fiscal authority that finances government spending partly with public debt. The model is calibrated to capture the empirical evidence on the macroeconomic effects of government spending and it is used to study the effect of an oil price shock under different fiscal policy rules. Our results show that fiscal multipliers in Colombia are positive in a way consistent with the evidence. Our analysis also shows that a structural fiscal rule delivers a better outcome in terms of macroeconomic volatility relative to a balanced budget rule or a countercyclical fiscal rule.

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“…In this section some experiments from applying this approach to a quarterly DSGE model for Colombia are reported. The model (PATACON) is described in González, Mahadeva, Prada, and Rodríguez (2008).…”

Section: Some Applicationsmentioning

confidence: 99%

Monetary policy forecasting in a DSGE model with data that is uncertain, unbalanced and about the future

González-Gómez¹,

Mahadeva²,

Rojas³

et al. 2009

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If theory-consistent models can ever hope to forecast well and to be useful for policy, they have to relate to data which though rich in information are uncertain, unbalanced and sometimes forecasts from external sources about the future path of other variables. One example from many is financial market data, which can help but only after smoothing out irrelevant short-term volatility. In this paper we propose combining different types of useful but awkward data set with a linearised forward-looking DSGE model through a Kalman Filter fixed-interval smoother to improve the utility of these models as policy tools. We apply this scheme to a model for Colombia.

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Policy analysis tool applied to colombian needs: PATACON model description

Cited by 10 publications

References 25 publications

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Fiscal policy in a small open economy with oil sector and non-ricardian agents

Monetary policy forecasting in a DSGE model with data that is uncertain, unbalanced and about the future

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