Advanced Search
MyIDEAS: Login to save this article or follow this journal

Choques grandes / Choques pequeños: Evidencia del Log (IPC) e inflación colombianos

Contents:

Author Info

  • Juan Manuel Julio

    ()

Abstract

A pesar de que en Colombia se acepta la intuición de que "el nivel medio de la inflación anual no cambia durante lapsos de tiempo muy largos", la afirmación contraria de que esta "tiene una raíz unitaria" aparece con frecuencia en la literatura empírica. Una explicación a tal contradicción surge de la poca veracidad de las pruebas estándar de raíz unitaria y de la exclusión de alternativas plausibles como las que sugiere nuestra intuición. Ahora bien, si nuestra percepción resulta ser verdadera, ésta implica la existencia de dos tipos de innovaciones que afectan la inflación: los "choques grandes", que producen cambios en el nivel medio o estado estacionario de la inflación, y los "choques pequeños", que producen los movimientos alrededor de estado estacionario. En este artículo se concluye, a través de pruebas muy potentes, que: 1. La inflación estacionaria alrededor de una media que cambia con poca frecuencia debido a los "choques grandes" y 2., y mejor que lo anterior, que el Log(IPC) es estacionario alrededor de una tendencia lineal con quiebres. Esto contrasta con las concepciones anteriores acerca de la inflación colombiana, ya que los únicos eventos que tienen efecto permanente son los relacionados con los "choques grandes", cuyas fechas de aparición se identifican en este trabajo. Futuras investigaciones sobre los eventos que causaron los quiebres deben conducir de manera natural a formular modelos para la inflación, el comportamiento de los agentes y de autoridad económica.

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_028-2.pdf
Download Restriction: no

Bibliographic Info

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

Volume (Year): (1995)
Issue (Month): ()
Pages:

as in new window
Handle: RePEc:col:000107:007519

Contact details of provider:

Related research

Keywords: INFLACION; PRECIOS; MODELOS ECONOMETRICOS;

Other versions of this item:

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. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  2. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
  3. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
  4. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  6. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
  7. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
  8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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. Juan Carlos Echeverry G., 1996. "The Rise And Perpetuation Of A Moderate Inflation, Colombia 1970-1991," BORRADORES DE ECONOMIA 003621, BANCO DE LA REPÚBLICA.
  2. Carlos Esteban Posada, . "Dinero, Interés, Inflación y Fluctuaciones económicas en Colombia desde 1958," Borradores de Economia 044, 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:000107:007519. See general information about how to correct material in RePEc.

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.