Advanced Search
MyIDEAS: Login

La Tasa De Interés Natural En Colombia

Contents:

Author Info

  • JUAN JOSÉ ECHAVARRÍA SOTO

    ()

  • ENRIQUE LÓPEZ ENCISO

    ()

  • MARTHA MISAS ARANGO

    ()

  • JUANA TÉLLEZ CORREDOR- JUAN CARLOS PARRA ÁLVAREZ

    ()

Abstract

En este artículo se estima para Colombia la tasa de interés natural (TIN) para el período 1982-2005, con base en las metodologías propuestas por Laubach y Williams (2001) y Mésonnier y Renne (2004). Un modelo neokeynesiano es la base de la estimación de la TIN de “mediano plazo” como una variable no observada que cambia en el tiempo. Dicho ejercicio se realiza mediante un fi ltro de Kalman que estima simultáneamente la TIN y la brecha del producto para la economía colombiana. Los resultados sugie-ren que la política monetaria fue contraccionista en 1998 y 1999, y relativamente expansiva en años re-cientes, aún cuando los resultados no son tan claros al trabajar con los promedios móviles de la TIN. La brecha del producto ha sido positiva en 2003 y 2004, confi rmando los resultados de otros trabajos en el área.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.banrep.gov.co/docum/ensayos/pdf/espe_054-2.pdf
Download Restriction: no

Bibliographic Info

Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (2007)
Issue (Month): ()
Pages:

as in new window
Handle: RePEc:col:000107:004640

Contact details of provider:

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Guillermo A. Calvo & Carlos A. Vegh, 1999. "Inflation Stabilization and BOP Crises in Developing Countries," NBER Working Papers 6925, National Bureau of Economic Research, Inc.
  2. Jeffery D. Amato, 2005. "The role of the natural rate of interest in monetary policy," BIS Working Papers 171, Bank for International Settlements.
  3. Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc.
  4. Jean-Paul Lam, 2004. "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework," Working Papers 04-9, Bank of Canada.
  5. Rudebusch, Glenn D. & Svensson, Lars E. O., 1999. "Eurosystem Monetary Targeting: Lessons from U.S. Data," Working Paper Series 92, Sveriges Riksbank (Central Bank of Sweden).
  6. Frank Smets & Raf Wouters, 2002. "Output and interest rate gaps: Theory versus practice," Computing in Economics and Finance 2002 355, Society for Computational Economics.
  7. Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.
  8. Katharine S. Neiss & Edward Nelson, 2001. "The real interest rate gap as an inflation indicator," Bank of England working papers 130, Bank of England.
  9. Thomas Laubach, 2001. "Measuring The NAIRU: Evidence From Seven Economies," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 218-231, May.
  10. Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy rules for inflation targeting," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  11. Robert G. King & Mark W. Watson, 1995. "Money, prices, interest rates and the business cycle," Working Paper Series, Macroeconomic Issues 95-10, Federal Reserve Bank of Chicago.
  12. Athanasios Orphanides & John C. Williams, 2002. "Robust monetary policy rules with unknown natural rates," Working Papers in Applied Economic Theory 2003-01, Federal Reserve Bank of San Francisco.
  13. Jens D J Larsen & Jack McKeown, 2003. "The informational content of empirical measures of real interst rate and output gaps for the United Kingdom," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 414-442 Bank for International Settlements.
  14. Carlos A. Huertas & Munir Jalil & Sergio Olarte & José Vicente Romero, . "Algunas consideraciones sobre el canal del crédito y la transmisión de tasas de interés en Colombia," Borradores de Economia 351, Banco de la Republica de Colombia.
  15. Julien Garnier & Bjørn-Roger Wilhelmsen, 2005. "The natural real interest rate and the output gap in the euro area - a joint estimation," Working Paper Series 546, European Central Bank.
  16. Luis Fernando Melo & Fabio H.Nieto & Carlos Esteban Posada & Yaneth Rocío Betancourt & Juan David Barón, . "Un Indice Coincidente para la Actividad Económica Colombiana," Borradores de Economia 195, Banco de la Republica de Colombia.
  17. Martha Misas A. & Carlos Esteban Posada P & Diego Mauricio Vásquez E, 2003. "¿Está determinado el nivel de precios por las expectativas de dinero y producto en Colombia?," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  18. Thomas Laubach & John C. Williams, 2001. "Measuring the natural rate of interest," Finance and Economics Discussion Series 2001-56, Board of Governors of the Federal Reserve System (U.S.).
  19. John C. Williams, 2003. "The natural rate of interest," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Oct 31.
  20. Martha Misas & Diego Mauricio Vásquez, . "Expectativas de Inflación en Colombia: Un Ejercicio Econométrico," Borradores de Economia 212, Banco de la Republica de Colombia.
  21. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  22. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  23. Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
  24. Ali Dib, 2002. "Nominal Rigidities and Monetary Policy in Canada Since 1981," Working Papers 02-25, Bank of Canada.
  25. Nicola Giammarioli & Natacha Valla, 2003. "The natural real rate of interest in the Euro area," Working Paper Series 233, European Central Bank.
  26. Marcelo Kfoury Muinhos & Márcio I. Nakane, 2006. "Comparing equilibrium real interest rates: different approaches to measure Brazilian rates," Working Papers Series 101, Central Bank of Brazil, Research Department.
  27. Marta Manrique & José Manuel Marqués, 2004. "An empirical approximation of the natural rate of interest and potential growth," Banco de España Working Papers 0416, Banco de España.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Andrés González & Sergio Ocampo & Julian Pérez Amaya & Diego Rodríguez, 2012. "Output gap and Neutral interest measures for Colombia," Borradores de Economia 726, Banco de la Republica de Colombia.
  2. Ana María Iregui & Ligia Alba Melo B., 2009. "La transmisión de la política monetaria sobre el consumo en presencia de restricciones de liquidez," BORRADORES DE ECONOMIA 005254, BANCO DE LA REPÚBLICA.
  3. Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010. "Estimations of the natural rate of interest in Colombia," BORRADORES DE ECONOMIA 007667, BANCO DE LA REPÚBLICA.
  4. Remberto Rhenals & Juan Pablo Saldarriaga, 2008. "An Optimal Taylor Rule for Colombia, 1991-2006," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 69, pages 9-39, Julio-Dic.
  5. Christian Bustamante & Luis E. Rojas, 2012. "Constant-Interest-Rate Projections and Its Indicator Properties," Borradores de Economia 696, Banco de la Republica de Colombia.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:col:000107:004640

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ESPE).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.