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  •   Repositorio Institucional EdocUR - Universidad del Rosario
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  • Documentos de trabajo economía
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Modelling the monetary policy reaction function of the Colombian Central Bank

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Date
2008-04
Author
Otero, JesusAutoridad Universidad de Rosario
Ramírez Gómez, Manuel
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URI
https://ideas.repec.org/p/col/000092/004650.html...

Abstract
This paper proposes a simple Ordered Probit model to analyse the monetary policy reaction function of the Colombian Central Bank. There is evidence that the reaction function is asymmetric, in the sense that the Bank increases the Bank rate when the gap between observed inflation and the inflation target (lagged once) is positive, but it does not reduce the Bank rate when the gap is negative. This behaviour suggests that the Bank is more interested in fulfilling the announced inflation target rather than in reducing inflation excessively. The forecasting performance of the model, both within and beyond the estimation period, appears to be particularly good.

Keyword

Monetary policy reaction function ; Ordered Probit model ; Central Bank independence ; Colombia ;

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https://ideas.repec.org/p/col/000092/004650.html...

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