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Inflación y dinero en Colombia: otro modelo P-estrella

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  • Andrés González

    ()

  • Luis Fernando Melo

    ()

  • Carlos Esteban Posada

    ()

Abstract

Este documento reporta los resultados de la estimaci´on de una versi´on reciente del modelo P-estrella de Gerlach y Svensson (2003) para Colombia (1980:I - 2005:IV) y sus predicciones. El modelo está diseñado para explicar la brecha de inflaci´on (tasa observada menos la meta) con base en dos brechas: la brecha monetaria y la de producto. De acuerdo con sus resultados, la brecha de producto carece de efectos significativos en tanto que la brecha monetaria tiene un efecto significativo positivo sobre la de inflaci´on.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 418.

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Handle: RePEc:bdr:borrec:418

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Keywords: inflación; demanda de dinero; mínimos cuadrados ordinarios dinámicos (DOLS); predicción. Classification JEL: C51; C53; E31; E37; E41;

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  1. Martha Misas & Carlos Esteban Posada, . "P-Estrella en Colombia: Un punto de vista sobre la inflación," Borradores de Economia, Banco de la Republica de Colombia 016, Banco de la Republica de Colombia.
  2. José Fernando Escobar R. & Carlos Esteban Posada P., . "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia, Banco de la Republica de Colombia 303, Banco de la Republica de Colombia.
  3. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 45-59, January.
  4. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.
  5. Gerlach, Stefan & Svensson, Lars E. O., 2003. "Money and inflation in the euro area: A case for monetary indicators?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(8), pages 1649-1672, November.
  6. repec:cup:etheor:v:10:y:1994:i:1:p:95-115 is not listed on IDEAS
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  8. Martha Misas & Enrique López & Luis Fernando Melo, . "La Inflación desde una Perspectiva Monetaria: Un Modelo P* para Colombia," Borradores de Economia, Banco de la Republica de Colombia 133, Banco de la Republica de Colombia.
  9. 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, Banco de la Republica de Colombia 324, Banco de la Republica de Colombia.
  10. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9807, Universite de Montreal, Departement de sciences economiques.
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  12. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
  13. Hallman, Jeffrey J & Porter, Richard D & Small, David H, 1991. "Is the Price Level Tied to the M2 Monetary Aggregate in the Long Run?," American Economic Review, American Economic Association, American Economic Association, vol. 81(4), pages 841-58, September.
  14. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 7(01), pages 1-21, March.
  15. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  16. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation Of Inflation Targeting In Colombia," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 003603, BANCO DE LA REPÚBLICA.
  17. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia, Banco de la Republica de Colombia 145, Banco de la Republica de Colombia.
  18. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 10(01), pages 91-115, March.
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