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Inflacion Basica. Una Estimacion Basada En Modelos Var Estructurales

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  • Luis Fernando Melo Velandia

    ()

  • Franz Hamann Salcedo

    ()

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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Bibliographic Info

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
Date of revision:
Handle: RePEc:col:000094:002848

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Keywords: Inflación;

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References

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  1. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report, Federal Reserve Bank of Minneapolis 107, Federal Reserve Bank of Minneapolis.
  2. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 437-42, October.
  3. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  4. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers, Michigan State - Econometrics and Economic Theory 8905, Michigan State - Econometrics and Economic Theory.
  5. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  6. Robert J. Gordon, 1992. "Measuring the Aggregate Price Level: Implications For Economic Performance and Policy," NBER Working Papers 3969, National Bureau of Economic Research, Inc.
  7. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 870, Cowles Foundation for Research in Economics, Yale University.
  8. Olivier 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.
  9. Alejandro López & Martha Misas & Hugo Oliveros, . "Understanding Consumption in Colombia," Borradores de Economia 058, Banco de la Republica de Colombia.
  10. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  11. Juan Carlos Echeverry, . "The Fall in Colombian Savings During the 1990s. Theory and Evidence," Borradores de Economia 061, Banco de la Republica de Colombia.
  12. 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.
  13. 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.
  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, Blackwell Publishing, vol. 26(1), pages 34-54, February.
  15. Danny Quah & Danny Quah & Shaun P. Vahey, 1995. "Measuring Core Inflation," CEP Discussion Papers dp0254, Centre for Economic Performance, LSE.
  16. Quah, Danny, 1995. "Measuring Core Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1153, C.E.P.R. Discussion Papers.
  17. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 454, October.
  18. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
  19. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
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Cited by:
  1. 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, , , edition 1, volume 1, number 1-12 edited by Centro de Estudios Monetarios Latinoamericanos (CEMLA), December.
  2. Martha Misas & Enrique López Enciso, . "Desequilibrios Reales en Colombia," Borradores de Economia 181, Banco de la Republica de Colombia.
  3. 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.
  4. Luis Eduardo Arango & Andrés González, . "Some Evidence of Smooth Transition Nonlinearity in Colombian Inflation," Borradores de Economia 105, Banco de la Republica de Colombia.
  5. 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.

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