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Output Gap and Neutral Interest Measures of Colombia

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Author Info

  • Andrés González

    (Universidad de los Andes)

  • Segio Ocampo
  • Julián Pérez

    (Banco de la República, Colombia)

  • Diego Rodríguez

    (Banco de la República, Colombia)

Abstract

Three 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 semi-structural 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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Bibliographic Info

Article provided by Centro de Estudios Monetarios Latinoamericanos in its journal Monetaria.

Volume (Year): I (2013)
Issue (Month): 2 (July-December)
Pages: 231-286

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Handle: RePEc:cml:moneta:v:i:y:2013:i:2:p:231-286

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Keywords: output gap; New Keynesian model; neutral interest rate;

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References

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  2. Juan Manuel Julio & Javier Gómez, 1999. "Outpout Gap Estimation, Estimation Uncertainty And Its Effect On Policy Rules," BORRADORES DE ECONOMIA 003309, BANCO DE LA REPÚBLICA.
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Cited by:
  1. Nicolas E. Magud & Evridiki Tsounta, 2012. "To Cut or Not to Cut? That is the (Central Bank’s) Question In Search of the Neutral Interest Rate in Latin America," IMF Working Papers 12/243, International Monetary Fund.
  2. Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," Borradores de Economia 775, Banco de la Republica de Colombia.

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