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El Producto Potencial En Colombia: Una Estimación Bajo Var Estructural

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  • Martha Misas Arango

    ()

  • Enrique López Enciso

    ()

Abstract

En este trabajo se aplica la técnica de vectores autoregresivos estructurales desarrollada por Blanchard y Quah, con el fin de construir el producto potencial para Colombia. Su utiliza un sistema de dos variables que permite obtener una identificación exacta a partir de una restricción teórica de largo plazo. Los resultados de la estimación muestran la importancia de los choques de oferta en las fluctuaciones del producto y de los choques de demanda en aquellas del desempleo. Adicionalmente, el producto potencial se utiliza en la construcción de la brecha de producto ("GAP"), que posibilita examinar en detalle el comportamiento reciente de la economía colombiana. Esta variable permite estimar un modelo de incremento de la inflación derivado de la Curva de Philips. En este último ejercicio se presentan evidencias de la existencia de efectos asimétricos del "GAP" sobre la inflación colombiana.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002538.

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Length: 42
Date of creation: 30 Jun 1998
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Handle: RePEc:col:000094:002538

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  1. Roberto Junguito B. & Enrique López E. & Martha Misas A. & Eduardo Sarmiento, 1995. "La Edificación y la Política Macroeconómica," BORRADORES DE ECONOMIA 002989, BANCO DE LA REPÚBLICA.
  2. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  4. Luis Fernando Melo V. & AlvaroRiascos, 1997. "El Producto Potencial Utilizando El Filtro De Hodrick-Prescott Con Parametro De Suavización Variable Y Ajustado Por Inflacion: Una Aplicación Para Colombia," BORRADORES DE ECONOMIA 002539, BANCO DE LA REPÚBLICA.
  5. Alain DeSerres & Alain Guay & Pierre St-Amant, 1995. "Estimating and Projecting Potential Output Using Structural VAR Methodology," Macroeconomics 9504003, EconWPA.
  6. Hatanaka, Michio, 1996. "Time-Series-Based Econometrics: Unit Roots and Co-integrations," OUP Catalogue, Oxford University Press, number 9780198773535, September.
  7. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
  8. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada 1996-2, Department of Finance Canada.
  9. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers 870, Cowles Foundation for Research in Economics, Yale University.
  10. Martha Misas A. & Marla Ripoll N. & Enrique López E., 1995. "Una Descripción Del Ciclo Industrial En Colombia," BORRADORES DE ECONOMIA 003707, BANCO DE LA REPÚBLICA.
  11. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  12. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
  13. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  14. 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.
  15. Chantal Dupasquier & Alain Guay & Pierre St-Amant, 1997. "A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap," Working Papers 97-5, Bank of Canada.
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Cited by:
  1. Luis Eduardo Arango & Ana María Iregui & Luis Fernando Melo, . "Recent Behavior of Output, Unemployment, Wages and Prices in Colombia:What went Wrong?," Borradores de Economia 249, Banco de la Republica de Colombia.
  2. Luis Eduardo Arango & IREGUI, Ana María & MELO, Luis F., 2006. "Recent macroeconomic performance in colombia: what went wrong?," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  3. Carlos Esteban Posada Posada & Wilman Gómez, 2004. "Un choque del activo externo neto y el ciclo económico Colombiano 1994-2001," BORRADORES DE ECONOMIA 003674, BANCO DE LA REPÚBLICA.
  4. Martha Misas & Enrique López, 2001. "Desequilibrio Reales En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  5. Martha Misas A. & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el siglo XX: El Aporte de un VAR Estructural," BORRADORES DE ECONOMIA 002229, BANCO DE LA REPÚBLICA.
  6. Mauricio SANTAMARIA SALAMANCA & Gabriel PIRAQUIVE GALEANO & Gustavo HERNANDEZ DIAZ & Norberto ROJAS DELGADILLO, 2013. "Crecimiento económico y desempleo: Retos a largo plazo," ARCHIVOS DE ECONOMÍA 011202, DEPARTAMENTO NACIONAL DE PLANEACIÓN.
  7. Alejandro Ramírez Vigoya & Hernando Rodríguez Zambrano, 2013. "Un análisis VAR estructural de política monetaria en Colombia," REVISTA FACULTAD DE CIENCIAS ECONÓMICAS, UNIVERSIDAD MILITAR NUEVA GRANADA.
  8. 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 324, Banco de la Republica de Colombia.
  9. Enrique López & Martha Misas, . "Un Exámen Empírico de la Curva de Phillips en Colombia," Borradores de Economia 117, Banco de la Republica de Colombia.
  10. Wilman Gómez & Carlos Esteban Posada, . "Un "Choque" del Activo Externo Neto y el Ciclo Económico Colombiano," Borradores de Economia 285, Banco de la Republica de Colombia.
  11. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango, 2008. "El tipo de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Investigación Conjunta - español, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 1-12 edited by Centro de Estudios Monetarios Latinoamericanos (CEMLA).

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