We embed a small open economy model for Colombia into the systemic riskmodel of Gómez, Guillaume, and Tanyeri (2015). The small open economy model is estimated by Bayesian methods and used for analysis and projections. Parameters estimates are constrained to yield an appropriate behavior to impulse responses, the evolution of latent variables, equation fit, error decompositions, and model forecast performance. The model enables us to give a consistent treatment of shocks to systemic risk, country risk, oil and commodity prices because rest-of-the-world variables are endogenous among themselves instead of exogenous restof-the-world variables for Colombia so that its economy responds to the reaction of these variables to the shocks of interest. Among other results we found that the identified episodes of retrenchment and buoyancy in systemic risk were transmitted to Colombia’s country risk premium and that systemic risk shocks are important drivers of Colombia’s output and unemployment gaps. Finally, aggregate demand-related shocks are unimportant drivers ofnoncoreinflation in Colombia. This result contrasts with findings for other countries.