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An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series

Author

Listed:
  • Fernando Uscátegui
  • Mike Woodcock
  • Carlos Méndez

Abstract

Monetary policy has been important as a tool at maintaining dynamic stability on inflation rate, an increasing growth rate and several changes in financial variables. The trend in those macroeconomic variables could be accounted for a straightforward or roundabout change in monetary policy tools. Hence, in this paper, we will present a historical trend about macroeconomic variables which change with monetary policy effects and we will use multivariate time series analysis which could give us empiric evidence to explain the impact of monetary policy in these variables. First, there will be a brief introduction about the importance of the subject will be made. Second, it will take place the description of the variables and a brief state of art for each variable analyzing the current literature in the subject. Third, it will be carried out all the subjects regarding the construction of two econometric models, VAR model and M-GARCH model, anyone not interested in this part is encourage to skip that section and continue reading the next section. Finally, it will be shown the final remarks and the conclusion of this paper.

Suggested Citation

  • Fernando Uscátegui & Mike Woodcock & Carlos Méndez, 2015. "An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series," Econógrafos, Escuela de Economía 14168, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:014168
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    File URL: http://fce.unal.edu.co/centro-editorial/docs/econografos-escuela-economia/85-an-approach-about-monetary-policy-risk-balance-in-colombia-a-multivariate-analysis-based-on-time-series
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    More about this item

    Keywords

    Monetary policy; Risk balance; macroeconomic variables; VAR modeling; MGARCH modeling;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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