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Expectativas de Inflación en Colombia: Un Ejercicio Econométrico

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  • Martha Misas

    ()

  • Diego Mauricio Vásquez

    ()

Abstract

Este artículo se centra en la estimación histórica de las expectativas de inflación en Colombia para el período comprendido entre 1980 y 2001 a partir de la información contenida en la dinámica conjunta de la tasa de interés nominal y de la inflación observada. El logro de este objetivo se alcanza teniendo en cuenta: (i) la consideración de mercados eficientes, (ii) la racionalidad en la conformación de las expectativas de inflación1 y (iii) la influencia de la inflación esperada en la evolución de la tasa de interés nominal2. Fama y Gibbons (1982) señalan que este último supuesto se fundamenta en el resultado del modelo Mundell-Tobin donde se observa una relación negativa entre la inflación esperada y la tasa de interés real ex-ante3. A diferencia de Hamilton (1985), no se considera el supuesto de que las tasas de interés reales esperada y observada presenten la misma dinámica en el largo plazo debido a que el procedimiento econométrico utilizado permite la consideración de variables no observadas.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 212.

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Handle: RePEc:bdr:borrec:212

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Cited by:
  1. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA.
  2. Alejandro Gaviria Jaramillo & Santiago Téllez Alzate, 2010. "Expectativas de inflación en Colombia," VNIVERSITAS ECONÓMICA 008299, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  3. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor- Juan Carlos Parra Álvarez, 2007. "La Tasa De Interés Natural En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.

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