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¿Está Determinado el Nivel de Precios por las Expectativas de Dinero y Producto en Colombia?

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  • Martha Misas

    ()

  • Carlos Esteban Posada

    ()

  • Diego Mauricio Vásquez

    ()

Abstract

La corriente tradicional de investigación conocida como la “teoría cuantitativa del dinero” ha sostenido que la cantidad de éste es el principal factor determinante del nivel de precios. Pero no siempre ha habido un consenso al respecto. Por ejemplo, hay quienes interpretan la ejecución de la estrategia denominada “inflación objetivo” como síntoma de una supuesta irrelevancia de la cantidad de dinero para la determinación del nivel de precios o de su tasa de aumento, la inflación. El objetivo del presente trabajo es someter a prueba la hipótesis cuantitativa para el caso colombiano pero en el siguiente sentido específico: lo que determina el nivel de precios es el juicio de los agentes económicos sobre la magnitud y la evolución de los componentes permanentes del dinero nominal y del producto real, entendidos éstos como los valores actuales esperados de sus trayectorias futuras, y que los factores juzgados como transitorios carecen de importancia para la determinación de dicho nivel. La verificación de tal hipótesis se realiza mediante un procedimiento de optimización no lineal, que considera la aplicación del filtro de Kalman y la estimación por máxima verosimilitud de los parámetros de una representación estado-espacio. Dicha representación se deriva de un modelo macroeconómico de equilibrio general intertemporal con expectativas racionales. Este trabajo se lleva a cabo con datos anuales para el período 1954-2000.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 191.

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Handle: RePEc:bdr:borrec:191

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References

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  1. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
  2. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
  3. McCallum, Bennett T., 2001. "Indeterminacy, bubbles, and the fiscal theory of price level determination," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 19-30, February.
  4. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  5. Svensson, Lars E. O., 1999. "Inflation targeting as a monetary policy rule," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 607-654, June.
  6. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
  7. Svensson, Lars E O, 1998. "Open-Economy Inflation Targeting," CEPR Discussion Papers 1989, C.E.P.R. Discussion Papers.
  8. Fernando Alvarez & Robert E. Lucas, Jr. & Warren E. Weber, 2001. "Interest rates and inflation," Working Papers 609, Federal Reserve Bank of Minneapolis.
  9. Karen Cabos & Nikolaus A. Siegfried, 2001. "Controlling Inflation in Euroland," Quantitative Macroeconomics Working Papers 20102, Hamburg University, Department of Economics.
  10. Luis Eduardo Arango, 1999. "Componentes no observados de la inflación en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  11. Juan Manuel Julio & Javier Gómez, 1999. "Outpout Gap Estimation, Estimation Uncertainty And Its Effect On Policy Rules," BORRADORES DE ECONOMIA 003309, BANCO DE LA REPÚBLICA.
  12. Martha Misas A. & Hugo Oliveros C. & José Darío Uribe, 1994. "Especificación Y Estabilidad De La Demanda Por Dinero En Colombia," BORRADORES DE ECONOMIA 002588, BANCO DE LA REPÚBLICA.
  13. Söderlind, Paul, 1998. "Solution and Estimation of RE Macromodels with Optimal Policy," Working Paper Series in Economics and Finance 256, Stockholm School of Economics.
  14. Allan H. Meltzer, 2001. "Money and monetary policy: an essay in honor of Darryl Francis," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 23-32.
  15. Fung, Ben & Mitnick, Scott & Remolona, Eli, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Working Papers 99-6, Bank of Canada.
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Cited by:
  1. Ignacio Lozano, 2008. "Budget Deficit, Money Growth and Inflation: Evidence from the Colombian Case," BORRADORES DE ECONOMIA 005127, BANCO DE LA REPÚBLICA.
  2. repec:cml:incocp:1-07 is not listed on IDEAS
  3. Miguel Urrutia, . "UNA VISION ALTERNATIVA: La Política Monetaria y Cambiaria en la Ültima Década," Borradores de Economia 207, Banco de la Republica de Colombia.
  4. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Alvarez, . "La Tasa de Interés Natural en Colombia," Borradores de Economia 412, Banco de la Republica de Colombia.
  5. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.

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