Advanced Search
MyIDEAS: Login

Expectativas y prima por riesgo inflacionario con una medida de compensación a la inflación

Contents:

Author Info

  • Melo, Luis Fernando

    (Banco de la República, Bogotá)

  • Granados, Joan Camilo

    (Banco de la República, Bogotá)

Abstract

We estimate the Break Even Inflation using the nominal and real government Colombian bonds for the period January 2003 to November 2009. This measure is decomposed in inflation expectations and inflation risk premium. The inflation expectations are calculated using a state-space representation of an extended affine term structure model. In order to improve the forecasts, this model incorporates the inflation expectations 12 months ahead of the Colombian Central Bank survey. The results show an inflation expectation downward trend, which may be related to an increasing confidence in monetary policy. This hypothesis is also supported by a decreasing trend in the inflation risk premium for medium and long term maturities (two and five years). Finally, the results indicate that the break even inflation is a good indicator of the inflation expectations for the short term forecast horizon (one year).// En este documento se estima una medida de compensación inflacionaria (Break Even Inflation) usando los rendimientos de los bonos de deuda del gobierno colombiano (TES) en pesos e indizados a unidades de valor real (UVR) para el periodo comprendido entre enero de 2003 y noviembre de 2009. Esta medida se descompone en expectativas de inflación y prima por riesgo inflacionario. Las expectativas de inflación se calculan con base en la representación de estado espacio de un modelo afín de estructura a término extendido. Con objeto de mejorar los pronósticos, este modelo incorpora las expectativas de inflación a 12 meses de la encuesta mensual del Banco de la República. Los resultados muestran una tendencia a la baja tanto de las expectativas de inflación como de la prima por riesgo inflacionario. Esto puede deberse al aumento de la confianza en la política monetaria por parte de los agentes. Además, los resultados indican que a corto plazo, la compensación inflacionaria es un buen indicador de expectativas de inflación

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXIX (4) (2012)
Issue (Month): 316 (octubre-diciembre)
Pages: 839-864

as in new window
Handle: RePEc:elt:journl:v:79:y:2012:i:316:p:839-864

Contact details of provider:
Web page: http://www.fondodeculturaeconomica.com/

Order Information:
Postal: Order print issues directly in our web page or with Guadalupe Galicia at Fondo de Cultura Económica, El Trimestre Económico, Carretera Picacho Ajusco 227, 6° piso,Col. Bosques del Pedregal, CP 14738, Tlalpan, Distrito Federal, México
Email:
Web: http://www.eltrimestreeconomico.com/

Related research

Keywords: compensación inflacionaria; prima por riesgo inflacionario; expectativas de inflación; modelos de estado espacio; modelos afines de estructura a término.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

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:elt:journl:v:79:y:2012:i:316:p:839-864. 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: (Rosa María González Mejía).

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.