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Heterogeneidad observada y no observada en la formación de los precios del IPC Colombiano

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  • Juan Manuel Julio

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Abstract

En este trabajo se caracterizan las reglas de precios de los minoristas Colombianos de bienes y servicios a través de la función de Hazard. Se cuenta con 12’052.970 reportes mensuales de precios de la totalidad de los bienes y servicios considerados en el cálculo del IPC Colombiano desde Marzo de 1999 hasta Mayo de 2008. En comparación con estudios similares de otros países, esta base de datos es particularmente útil para estudiar la presencia de dependencia del estado, particularmente costos de menú, ya que cubre un periodo de inflación decreciente, Marzo de 1999 a Junio de 2006, y otro de inflación creciente, Junio de 2006 a Mayo de 2008. Se implementa una estrategia econométrica apropiada para modelar la heterogeneidad observada tanto como la no observada de las duraciones de los precios para reducir sesgos en las estimaciones. Se concluye que: (1) Hay evidencia muy fuerte a favor de dependencia de estado. La dependencia de la Hazard sobre la inflación sectorial es considerada por diversos autores como evidencia de costos de menú. (2) La dependencia de estado es mas baja para precios flexibles que para rígidos. (3) Hay evidencia muy fuerte a favor de riesgos competitivos entre incrementos y disminuciones de los precios. En particular, una expansión monetaria acelera su efecto sobre los precios a través de los bienes y una contracción lo acelera a través de los servicios. (4) La sensibilidad de la Hazard a los cambios en la devaluación es muy moderada. (5) Hay muy poca evidencia en favor de contratos explícitos excepto por servicios que se caracterizan por estos. (6) Hay evidencia muy fuerte de heterogeneidad debida al tipo de minorista que distribuye el ítem y de heterogeneidad no observada.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 597.

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Handle: RePEc:bdr:borrec:597

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Related research

Keywords: Fijación de los Precios; Rigideces de Precios; Modelos de Duración; Función de Hazard. Classification JEL: E31; E52; E58.;

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  1. Dias, Daniel & Robalo Marques, Carlos & Santos Silva, João M. C., 2005. "Time or state dependent price setting rules? Evidence from Portuguese micro data," Working Paper Series 0511, European Central Bank.
  2. Fougère, D. & Le Bihan, H. & Sevestre, P., 2005. "Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation," Working papers 137, Banque de France.
  3. Carlos Carvalho & Fernanda Nechio, 2011. "Aggregation and the PPP Puzzle in a Sticky-Price Model," American Economic Review, American Economic Association, vol. 101(6), pages 2391-2424, October.
  4. Fuhrer, Jeffrey C & Moore, George R, 1995. "Monetary Policy Trade-offs and the Correlation between Nominal Interest Rates and Real Output," American Economic Review, American Economic Association, vol. 85(1), pages 219-39, March.
  5. Carvalho Carlos, 2006. "Heterogeneity in Price Stickiness and the Real Effects of Monetary Shocks," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-58, December.
  6. Carlos Carvalho, 2005. "Heterogeneity in Price Setting and the Real Effects of Monetary Shocks," Macroeconomics 0509017, EconWPA, revised 12 Sep 2005.
  7. Martin Eichenbaum & Jonas D.M. Fisher, 2003. "Testing the Calvo model of sticky prices," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 40-53.
  8. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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Cited by:
  1. Martha Misas A. & Juan Carlos Parra A. & Enrique López E., 2011. "Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo," VNIVERSITAS ECONÓMICA 008301, UNIVERSIDAD JAVERIANA - BOGOTÁ.

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