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On the determinants of the inflation rate in Colombia: a disequilibrium market approach

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Jesus Otero ()
Manuel Ramirez ()

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Abstract

We investigate the inflation rate in Colombia in terms of excess money, excess demand, deviations from PPP, and wage inflation. In contrast to previous results for a group of industrial economias, we find that domestic factors are a far more powerful influence on inflation than are external factors. We also find evidence of non-linear price behavior in response to excess demand and deviations from PPP; prices appear to respond symmetrically to excess money. The constitutional reform of 1991, which gave greater political independence to the Central Bank, also did influence inflation, both changing some parameters of the model and the adjustment patterns. ************************************************************************ Se investiga la tasa de inflación en términos del exceso de dinero, el exceso de demanda, de las desviaciones con respecto a la PPa y de la inflación salarial. A diferencia de los resultados encontrados para un grupo de países industrializados, encontramos que los factores domésticos tienen una influencia mucho mayor sobre la inflación que los factores externos. Tambien encontramos evidencia de comportamiento no lineal de los precios en respuesta a los excesos de demanda y a las desviaciones con respecto a la PPA; los precios responden simétricamente al exceso de dinero. La reforma constitucional de 1991 incrementó la independencia del Banco Central, tambien influenció la inflación, pero por medio de cambios en los parámetros y en los patrones de ajuste.

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Paper provided by UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA in its series BORRADORES DE INVESTIGACIÓN with number 003296.

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Length: 38
Date of creation: 01 Jan 2002
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Handle: RePEc:col:000091:003296

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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.:

  1. Johansen, S[empty]ren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244. [Downloadable!] (restricted)
  2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  3. Reinhart, Carmen & Arrau, Patricio & DeGregorio, Jose & Wickham, Peter, 1995. "The demand for money in developing countries: Assessing the role of financial innovation," MPRA Paper 14096, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  4. Martha Misas & Enrique López & Luis Fernando Melo, . "La Inflación desde una Perspectiva Monetaria: Un Modelo P* para Colombia," Borradores de Economia 133, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  5. Alvaro Escribano & Santiago Mira, 2001. "Nonlinear error correction models," Documentos de trabajo conjunto ULL-ULPGC 2001-03, Facultad de Ciencias Económicas de la ULPGC. [Downloadable!]
  6. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  7. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August. [Downloadable!] (restricted)
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  9. Robert J. Barro, 1995. "Inflation and Economic Growth," NBER Working Papers 5326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
  11. Martha Misas Arango & Hugo Oliveros Camacho, 1994. "La Relación Entre Salarios Y Precios En Colombia: Un Análisis Econométrico," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE. [Downloadable!]
  12. Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April. [Downloadable!] (restricted)
  13. Enrique López E & Martha Misas A, 1998. "Un Examen Empírico De La Curva De Phillips En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE. [Downloadable!]
  14. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July. [Downloadable!] (restricted)
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  15. Enrique López & Martha Misas, . "Un Exámen Empírico de la Curva de Phillips en Colombia," Borradores de Economia 117, Banco de la Republica de Colombia. [Downloadable!]
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  16. Martha Misas A. & Hugo Oliveros C., 1994. "La Relación Entre Salarios Y Precios En Colombia: Un Análisis Econométrico," BORRADORES DE ECONOMIA 003074, BANCO DE LA REPÚBLICA. [Downloadable!]
    Other versions:
  17. Alvaro Escribano & Clive W.J. Granger, 1996. "Investigating the Relationship between Gold and Silver Prices," University of California at San Diego, Economics Working Paper Series 96-38, Department of Economics, UC San Diego. [Downloadable!]
  18. PHILIP HANS FRANSES & BART HOBIJN,, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor and Francis Journals, vol. 24(1), pages 25-48, February. [Downloadable!] (restricted)
  19. Marcellino, M. & Mizon, G.E., 1999. "Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK," Discussion Paper Series In Economics And Econometrics 9917, Economics Division, School of Social Sciences, University of Southampton.
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  20. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
  21. Juselius, Katarina, 1992. "Domestic and foreign effects on prices in an open economy: The case of Denmark," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 401-428, August. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Arroyo, José Santiago & Aponte, Elizabeth & Duque, Henry & Florez, Jaime, 2005. "Inflación y desempleo: ejercicio econométrico para Cali-Colombia
    [Inflation and Unemployment: econometric exercise for Cali-Colombia]
    ," MPRA Paper 15577, University Library of Munich, Germany, revised Jul 2005. [Downloadable!]
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