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¿Qué nos dicen las encuestas sobre la formación de expectativas de inflación?

Author

Listed:
  • Ana María Iregui-Bohórquez
  • César Anzola-Bravo
  • Luisa Fernanda Ballén-Rubio
  • Valeria Bejarano-Salcedo
  • Eliana González-Molano
  • Anderson Grajales-Olarte
  • Alexander Guarín-López
  • María Alejandra Hernández-Montes

Abstract

Una tarea fundamental del Banco de la República -Banrep- es el seguimiento de las expectativas de inflación, debido a que estas reflejan la credibilidad de la política monetaria. Este documento estudia la formación de expectativas de inflación en Colombia a partir de la información contenida en encuestas. La evidencia sugiere que los pronósticos de las encuestas no son sistemáticamente mejores (o peores) que los que resultan de modelos. Además, cuando las expectativas de las encuestas se incluyen como fuente adicional en los modelos del Banrep, se obtienen ganancias moderadas en términos de la capacidad de pronosticar horizontes de tiempo largos. De otra parte, se encuentra que las expectativas convergen a la meta de inflación del Banco, es decir están ancladas, aunque el grado de convergencia depende del tipo de agente y sector económico. Se encuentra evidencia de desacuerdo y sesgo en la expectativa agregada. Esto podría obedecer a la heterogeneidad de los agentes, por lo que no es recomendable utilizar el promedio de las encuestas como indicador de la inflación futura. Por último, los resultados indican que en un entorno económico cambiante los analistas económicos no revisan de manera eficiente sus expectativas cuando reciben nueva información. **** ABSTRACT: A fundamental task of the Banco de la República -Banrep- is to monitor inflation expectations, since these reflect the credibility of monetary policy. This document studies the formation of inflation expectations in Colombia from the information contained in surveys. Evidence suggests that survey forecasts are not consistently better (or worse) than model predictions. Furthermore, when survey expectations are included as an additional source in Banrep models, moderate gains are obtained in terms of the ability to forecast long time horizons. On the other hand, it is found that expectations converge to the Bank's inflation target, that is, they are anchored, although the degree of convergence depends on the type of agent and economic sector. Evidence of disagreement and bias is found in the aggregate expectation. This could be due to the heterogeneity of the agents, so it is not advisable to use the average of the surveys as an indicator of future inflation. Finally, the results indicate that in a changing economic environment, economic analysts do not efficiently review their expectations when they receive new information.

Suggested Citation

  • Ana María Iregui-Bohórquez & César Anzola-Bravo & Luisa Fernanda Ballén-Rubio & Valeria Bejarano-Salcedo & Eliana González-Molano & Anderson Grajales-Olarte & Alexander Guarín-López & María Alejandra , 2021. "¿Qué nos dicen las encuestas sobre la formación de expectativas de inflación?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, issue 100, pages 1-95, September.
  • Handle: RePEc:col:000107:019550
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    Keywords

    Expectativas de inflación; Encuestas; Anclaje; Eficiencia; Expectativas racionales; Pronósticos; Inflation expectations; Surveys; Anchorage; Efficiency; Rational expectations; Forecasting;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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