Advanced Search
MyIDEAS: Login to save this paper or follow this series

La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural

Contents:

Author Info

  • Martha Misas Arango

    ()

  • Enrique López Enciso

    ()

  • Juana Téllez Corredor

    ()

  • José Fernando Escobar

    ()

Abstract

En este documento se presenta la estimación de la inflación subyacente en Colombia durante el período comprendido entre enero de 1983 y marzo del 2004, obtenida mediante un esquema de tendencias estocásticas comunes asociadas a un modelo vectorial de corrección de errores con restricciones de carácter estructural (SVEC). En el sistema de información, la inflación subyacente se relaciona de manera directa con el crecimiento de un agregado monetario amplio, el nivel del producto, los términos de intercambio y el crecimiento de los salarios nominales. La medida resultante de inflación subyacente corresponde a la estimación de largo plazo de la inflación que es obtenida mediante el modelo de tendencias estocásticas comunes. La inflación subyacente estimada posee las características deseadas en cuanto a varianza y está relacionada con el comportamiento de la inflación observada. Con el fin de probar las bondades de la metodología, se calculan dos series de pronósticos de la inflación y de la inflación subyacente, con sus respectivos intervalos de confianza, mediante técnicas de bootstrapping basadas en dos longitudes de muestreo que son seleccionadas de manera aleatoria.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.banrep.gov.co/docum/ftp/borra324.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 324.

as in new window
Length:
Date of creation:
Date of revision:
Handle: RePEc:bdr:borrec:324

Contact details of provider:
Postal: Cra 7 # 14-78 Piso 7
Phone: (57-1) 3431111
Fax: (57-1) 2841686
Email:
Web page: http://www.banrep.org/publicaciones/pub_borra.htm
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1802, Econometric Society, revised 08 Nov 2000.
  2. Michael F. Bryan & Stephen G. Cecchetti & Rodney L. Wiggins II, 1997. "Efficient inflation estimation," Working Paper, Federal Reserve Bank of Cleveland 9707, Federal Reserve Bank of Cleveland.
  3. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
  4. Carlos Felipe Jaramillo, 1998. "Improving The Measurement Of Core Inflation In Colombia Using Asymmetric Trimmed Means," BORRADORES DE ECONOMIA 002818, BANCO DE LA REPÚBLICA.
  5. Vlaar, Peter J. G., 2004. "Shocking the eurozone," European Economic Review, Elsevier, Elsevier, vol. 48(1), pages 109-131, February.
  6. Martha Misas & Enrique López, . "El Producto Potencial en Colombia: Una Estimación Bajo VAR Estructural," Borradores de Economia 094, Banco de la Republica de Colombia.
  7. Fabio Bagliano & Roberto Golinelli & Claudio Morana, 2002. "Core inflation in the Euro area," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(6), pages 353-357.
  8. Fabio C. Bagliano & Claudio Morana, 1999. "Measuring Core Inflation in Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 58(3-4), pages 301-328, December.
  9. Magnus, Jan R. & Neudecker, H., 1986. "Symmetry, 0-1 Matrices and Jacobians: A Review," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 2(02), pages 157-190, August.
  10. Mellander, Erik & Vredin, A & Warne, A, 1992. "Stochastic Trends and Economic Fluctuations in a Small Open Economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(4), pages 369-94, Oct.-Dec..
  11. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, American Economic Association, vol. 79(4), pages 655-73, September.
  12. Hogan, Seamus & Marianne Johnson & Thérèse Laflèche, 2001. "Core Inflation," Technical Reports, Bank of Canada 89, Bank of Canada.
  13. repec:wop:humbsf:2001-19 is not listed on IDEAS
  14. Luis Eduardo Arango & Ana María Iregui & Luis Fernando Melo, 2003. "Recent Behavior of Outpout , Unemployment, Wages and Prices in Colombia: What went wrong?," BORRADORES DE ECONOMIA 003417, BANCO DE LA REPÚBLICA.
  15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  16. P.J.G. Vlaar & H. Schuberth, 1998. "Monetary transmission and controllability of money in Europe: a structural vector error correction approach," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 544, Netherlands Central Bank, Research Department.
  17. Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 6(3), pages 1-40, November.
  18. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue May, pages 143-155.
  19. Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 2002. "Identifying the Effects of Monetary Policy Shocks in an Open Economy," Working Paper Series 134, Sveriges Riksbank (Central Bank of Sweden).
  20. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  21. Fabio C. Bagliano & Claudio Morana, 2003. "A common trends model of UK core inflation," Empirical Economics, Springer, Springer, vol. 28(1), pages 157-172, January.
  22. Luis Fernando Melo Velandia & Franz Hamann Salcedo, 1998. "Inflacion Basica. Una Estimacion Basada En Modelos Var Estructurales," BORRADORES DE ECONOMIA 002848, BANCO DE LA REPÚBLICA.
  23. Christine Gartner & Gert Wehinger, 1998. "Core Inflation in Selected European Union Countries," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 33, Oesterreichische Nationalbank (Austrian Central Bank).
  24. Danny Quah & Shaun Vahey, 1995. "Measuring Core Inflation," Bank of England working papers, Bank of England 31, Bank of England.
  25. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, National Bureau of Economic Research, Inc, in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc.
  26. Claus, I., 1997. "A Measure of Underlying Inflation in the United States," Working Papers, Bank of Canada 97-20, Bank of Canada.
  27. Magnus, J.R. & Neudecker, H., 1986. "Symmetry, 0-1 matrices and Jacobians: A review," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153216, Tilburg University.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Luz Adriana Flórez & Carlos Esteban Posada & José Fernando Escobar, 2005. "Crédito Y Depósitos Bancarios En Colombia (1990-2004): Una Relación De Largo Plazo," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
  2. Andrés González & Luis Fernando Melo & Carlos Esteban Posada, 2006. "Inflación y dinero en Colombia: otro modelo P-estrella," BORRADORES DE ECONOMIA 002851, BANCO DE LA REPÚBLICA.

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:bdr:borrec:324. 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: (Camilo Millán).

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.