An accurate estimation of the output gap is crucial for conducting monetary policy under an inflation targeting regime. For this reason, in the literature and in Colombia's Central Bank, a wide variety of measurements using different strategies have emerged. Unfortunately, since the output gap is unobservable, there is always great uncertainty on any of these estimations. To overcome this, specialists at the Inflation Department regularly follow various indicators, especially business surveys and real data, which improve the understanding of the situation of the economy on the cycle and help, identify possible demand pressures. Even though in principle it may seem adequate to have various measures and monitor diverse information sources, summarizing all the measures and the available information into only one output gap measure that can be used to produce inflation forecasts and formulate policy recommendations is problematic. Until very recently, the reduction of information was based solely on the judgment of the specialists on the relative weight assigned to each measure and to the surveys in the analysis, which could possibly lead to an omitted variable problem that may bias the final estimation. In order to overcome the problem, in this paper an output gap indicator is estimated as the unobserved factor from the available data set. The factor is estimated using static principal components, which should correctly summarize the information contained in the data set and exclude any measurement error from the initial measures. The quality of the output gap indicator is then evaluated by its out of sample predictive ability of the core non-tradable inflation in Colombia, using a hybrid Phillips Curve. The results suggest as expected, that the output gap indicator is better for identifying demand pressures in the economy than any of the individual measures, since it efficiently summarizes the information contained in various data sources. An additional result was that the out of sample forecasts were further improved when the measures based on traditional statistical filters on real data were excluded for the estimation of the indicator. The latter validates the importance of analyzing various information sources and particularly business surveys, for the estimation of Colombia's output gap, despite the fact that the industry only weights 15% in Colombian GDP.
El acceso a los servicios …nancieros constituye un derecho fundamental contemporáneo y un instrumento insustituible en la asignación de los recursos que permitan la acumulación de capital. Así las cosas, desde el ángulo del crecimiento y la igualdad, el alcance social de dicha herramienta resulta crucial.para el desarrollo económico en términos de equidad y sostenibilidad. Por tal motivo, la exclusión …nanciera equivale a una forma de exclusión social. Lo cual justi…ca que con la más alta prioridad el Estado garantice a través del marco regulatorio el acceso a los servicios …nancieros de los segmentos más vulnerables de la población. En este trabajo, se discute la importancia de la de…nición de inclusión …nanciera en contraposición al concepto tradicional de bancarización; y se analizan las variables que determinan la inclusión …nanciera desde el punto de vista de la demanda, a través de la agregación de los servicios …nancieros.Clasi…cación JEL: D14, D,18, G28 Palabras Clave: Inclusión …nanciera, Capacidades …nancieras, Regulación en Colombia.Esta versión: Julio 19 de 2013. Los errores, opiniones y omisiones son responsabilidad de los autores y no compromete al Banco de la República ni a su Junta directiva. Se agradecen los comentarios de los asistentes al seminario de la Agenda de investigaciones de la Gerencia Técnica. Se agradece especialmente a Norberto Rodríguez y Hector Zárate por útiles discusiones metodológicas, y a Daniela Macallister por su trabajo como asitente de investigación. Los autores son, respectivamente: miembro de la Junta
This paper presents the construction of a tailor-made Macro Computable General Equilibrium Model for the Colombian economy that satisfies Banco de la República's macroeconomic programming and forecasting interests. Using information on the national accounts divulged by the National Statistics Department (DANE), we set an easily updatable Macro Social Accounting Matrix that serves as a starting point for the model parameters calibration and estimation.
We set a dynamic stochastic model for the interbank daily market for funds in Colombia. The framework features exogenous reserve requirements and requirement period, competitive trading among heterogeneous commercial banks, daily open market operations held by the Central Bank (auctions and window facilities), and idiosyncratic demand shocks and uncertainty in the daily auction. Analytical derivations of their decision making process show that banks involvement in the interbank market and open market operations depend on their individual requirement constraint and daily liquid assets. Our results do not show a linkage between the uncertainty in the money supply mechanism and activity in the interbank market. Equilibrium interest rate for the interbank market is derived, and is shown that it is distorted by uncertainty at the daily auction held by the monetary authority. Using data for Colombia, we test the main results of the model and corroborate the Martingale hypothesis for the interbank interest rate.
We set a dynamic stochastic model for the interbank daily market for funds in Colombia. The framework features exogenous reserve requirements and requirement period, competitive trading among heterogeneous commercial banks, daily open market operations held by the Central Bank (auctions and window facilities), and idiosyncratic demand shocks and uncertainty in the daily auction. The model highlights the institutional framework and the money supply mechanisms for the interbank market. We construct a data base for the Colombian case that incorporates the principal variables of the model and give us some insights about the behavior of them in a typical requirement period. We corroborate the Martingale hypothesis for the interbank interest rate..
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