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La transmisión de los choques a la tasa de cambio sobre la inflación de los bienes importados en presencia de asimetrías

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  • Andrés González

    ()

  • Hernán Rincón

    ()

  • Norberto Rodríguez

    ()

Abstract

En este documento estimamos el grado de transmisión de corto y largo plazo sobre la inflación de los bienes importados de un choque a la tasa de devaluación nominal en presencia de asimetrías. Utilizamos una ecuación estándar de pass-through para modelos con competencia imperfecta, datos trimestrales de Colombia para el período 1985 a 2007 y modelos econométricos lineales y no lineales. Los resultados muestran que la transmisión es menos que proporcional, sin importar el plazo considerado. También se encuentra que el grado y la dinámica de la transmisión son endógenos y asimétricos al signo, tamaño y volatilidad de los tasa de cambio y al estado de la economía. La transmisión es mayor cuando la economía está en auge, es más abierta, las firmas esperan que los movimientos en la tasa de cambio sean permanentes, la tasa de cambio real está depreciada, la tasa de cambio nominal se devalúa y la inflación es mayor.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 532.

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Handle: RePEc:bdr:borrec:532

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Keywords: Transmisión de los choques a la devaluación sobre la inflación (exchange rate pass-through); asimetrías; modelo VAR-lineal; modelo VAR de regresión no lineal de transición suave logística (VAR-LSTR) Classification JEL: F31; E31; E52; C51; C52.;

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