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Inflacion Basica. Una Estimacion Basada En Modelos Var Estructurales

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Author Info
Luis Fernando Melo Velandia ()
Franz Hamann Salcedo ()

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Abstract

En este trabajo se presenta y se aplica para Colombia una técnica desarrollada por Quah y Vahey (1995) para medir la inflación básica a partir de la hipótesis de neutralidad del dinero en el largo plazo. Así, la inflación básica se define como aquella parte de la inflación observada que no tiene efectos sobre el producto real en el mediano y largo plazo. Esta definición es consistente con la idea de la existencia de una curva de Phillips vertical en el largo plazo. Dichas hipótesis se pueden incorporar como restricciones dinámicas impuestas sobre un sistema de vectores autorregresivos (VAR) y de esta forma obtener una medida de inflación básica que elimina la ambigüedad de escoger entre diferentes medidas alternativas.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002848.

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Length: 28
Date of creation: 30 Jun 1998
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Handle: RePEc:col:000094:002848

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  1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
  2. Oliver J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc. [Downloadable!]
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  3. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  4. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
  5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  6. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16. [Downloadable!]
  7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  8. Juan Carlos Echeverry, 1996. "The Fall in Colombian savings during the 1990s. Theory and evidence," BORRADORES DE ECONOMIA 003593, BANCO DE LA REPÚBLICA. [Downloadable!]
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  9. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-44, September. [Downloadable!] (restricted)
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  10. Gordon, Robert J, 1992. "Measuring the Aggregate Price Level: Implications for Economic Performance and Policy," CEPR Discussion Papers 663, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  11. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis. [Downloadable!]
  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. [Downloadable!] (restricted)
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  13. Alejandro López & Martha Misas & Hugo Oliveros, 1996. "Understanding Consumption in Colombia," BORRADORES DE ECONOMIA 003734, BANCO DE LA REPÚBLICA. [Downloadable!]
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  14. Lastrapes, William D & Selgin, George A, 1994. "Buffer-Stock Money: Interpreting Short-Run Dynamics Using Long-Run Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 34-54, February. [Downloadable!] (restricted)
  15. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers 870, Cowles Foundation, Yale University. [Downloadable!]
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  16. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  17. 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. [Downloadable!] (restricted)
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  18. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
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Cited by:
(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. Martha Misas Arango & Enrique López, 2000. "La Utilización De La Capacidad Instalada De La Industria En Colombia: Un Nuevo Enfoque," BORRADORES DE ECONOMIA 003096, BANCO DE LA REPÚBLICA. [Downloadable!]
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  2. Luis Eduardo Arango & Andrés González, 1998. "Some Evidence Of Smooth Transition Nonlinearity In Colombian Inflation," BORRADORES DE ECONOMIA 003515, BANCO DE LA REPÚBLICA. [Downloadable!]
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  3. 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. [Downloadable!]
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  4. Martha Misas & Enrique López Enciso, . "Desequilibrios Reales en Colombia," Borradores de Economia 181, Banco de la Republica de Colombia. [Downloadable!]
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