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Inflación Básica.Una Estimación Basada en Modelos VAR Estructurales

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  • Luis Fernando Melo

    ()

  • Franz A.Hamann

    ()

Abstract

En este trabajo se presenta y se aplica para Colombia una técnica desarrollada por Quah y Vahey (1995) para medir la inflación básica a partir de la hipótesis de neutralidad del dinero en el largo plazo. Así, la inflación básica se define como aquella parte de la inflación observada que no tiene efectos sobre el producto real en el mediano y largo plazo. Esta definición es consistente con la idea de la existencia de una curva de Phillips vertical en el largo plazo. Dichas hipótesis se pueden incorporar como restricciones dinámicas impuestas sobre un sistema de vectores autorregresivos (VAR) y de esta forma obtener una medida de inflación básica que elimina la ambiguedad de escoger entre diferentes medidas alternativas.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 093.

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Handle: RePEc:bdr:borrec:093

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Keywords: Inflación; inflación básica; neutralidad; VAR estructural;

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References

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  1. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
  2. Olivier J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc.
  3. Alejandro López & Martha Misas & Hugo Oliveros, 1996. "Understanding Consumption in Colombia," BORRADORES DE ECONOMIA 003734, BANCO DE LA REPÚBLICA.
  4. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
  5. 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.
  6. Danny Quah & Shaun Vahey, 1995. "Measuring Core Inflation," Bank of England working papers 31, Bank of England.
  7. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
  8. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
  9. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  10. Gordon, Robert J, 1992. "Measuring the Aggregate Price Level: Implications for Economic Performance and Policy," CEPR Discussion Papers 663, C.E.P.R. Discussion Papers.
  11. Olivier Jean Blanchard & Danny Quah, 1990. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  12. Juan Carlos Echeverry, . "The Fall in Colombian Savings During the 1990s. Theory and Evidence," Borradores de Economia 061, Banco de la Republica de Colombia.
  13. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  14. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  15. Lastrapes, William D & Selgin, George A, 1994. "Buffer-Stock Money: Interpreting Short-Run Dynamics Using Long-Run Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 34-54, February.
  16. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
  17. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
  18. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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Citations

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Cited by:
  1. Luis Arango & Andres Gonzalez, 2001. "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 155-162.
  2. Martha Misas Arango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar, . "La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural," Borradores de Economia 324, Banco de la Republica de Colombia.
  3. Martha Misas & Enrique López, 2000. "La Utilización De La Capacidad Instalada De La Industria En Colombia: Un Nuevo Enfoque," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  4. repec:cml:incocp:1-12 is not listed on IDEAS
  5. Martha Misas Arango & Enrique López Enciso, 0000. "Desequilibrios Reales En Colombia," BORRADORES DE ECONOMIA 002291, BANCO DE LA REPÚBLICA.

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