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La Tasa de Interés Natural en Colombia

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  • Juan José Echavarría Soto

    ()

  • Enrique López Enciso

    ()

  • Martha Misas Arango

    ()

  • Juana Téllez Corredor

    ()

  • Juan Carlos Parra Alvarez

    ()

Abstract

En este artículo se estima para Colombia la tasa de interés natural (TIN) para el período 1982-2005, con base en las metodologías propuestas por Laubach y Williams (2001) y Mésonnier y Renne (2004). Un modelo neokeynesiano es la base de la estimación de la TIN de “mediano plazo” como una variable no observada que cambia en el tiempo. Tal estimación se realiza mediante un filtro de Kalman que estima simultáneamente la TIN y la brecha del producto para la economía colombiana. Se sugiere que la política monetaria fue contraccionista en 1998 y 1999, y relativamente expansiva en los años recientes, aún cuando los resultados no son tan claros cuando se trabaja con los promedios móviles de la TIN. La brecha del producto ha sido positiva en 2003 y 2004, confirmando los resultados de otros trabajos en el área.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 412.

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Handle: RePEc:bdr:borrec:412

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Keywords: Tasa natural de interés; variables no observadas; producto potencial; filtro de Kalman. Classification JEL: E43; E52; C32.;

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Citations

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Cited by:
  1. Ana María Iregui B. & Ligia Alba Melo B., . "La transmisión de la política monetaria sobre el consumo en presencia de restricciones de liquidez," Borradores de Economia 547, Banco de la Republica de Colombia.
  2. repec:cml:incocp:1-05 is not listed on IDEAS
  3. Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, . "Estimations of the natural rate of interest in Colombia," Borradores de Economia 626, Banco de la Republica de Colombia.
  4. Remberto Rhenals & Juan Pablo Saldarriaga, 2008. "An Optimal Taylor Rule for Colombia, 1991-2006," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 69, pages 9-39, Julio-Dic.
  5. Andrés González & Segio Ocampo & Julián Pérez & Diego Rodríguez, 2013. "Output Gap and Neutral Interest Measures of Colombia," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 231-286, July-Dece.
  6. Christian Bustamante & Luis E. Rojas, 2012. "Constant-Interest-Rate Projections and Its Indicator Properties," Borradores de Economia 696, Banco de la Republica de Colombia.

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