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La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural

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Author Info
Martha Misas A>rango ()
Enrique López Enciso ()
Juana Téllez Corredor ()
José Fernando Escobar Restrepo ()

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Abstract

En este documento se presenta la estimación de la inflación subyacente en Colombia durante el período comprendido entre enero de 1983 y marzo del 2004, obtenida mediante un esquema de tendencias estocásticas comunes asociadas a un modelo vectorial de corrección de errores con restricciones de carácter estructural (SVEC). En el sistema de información, la inflación subyacente se relaciona de manera directa con el crecimiento de un agregado monetario amplio, el nivel del producto, los términos de intercambio y el crecimiento de los salarios nominales. La medida resultante de inflación subyacente corresponde a la estimación de largo plazo de la inflación que es obtenida mediante el modelo de tendencias estocásticas comunes. La inflación subyacente estimada posee las características deseadas en cuanto a varianza y está relacionada con el comportamiento de la inflación observada. Con el fin de probar las bondades de la metodología, se calculan dos series de pronósticos de la inflación y de la inflación subyacente, con sus respectivos intervalos de confianza, mediante técnicas de bootstrapping basadas en dos longitudes de muestreo que son seleccionadas de manera aleatoria.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003026.

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Length: 43
Date of creation: 31 Jan 2005
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Handle: RePEc:col:000094:003026

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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.:
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  3. Bagliano, Fabio C & Golinelli, Roberto & Morana, Claudio, 2002. "Core Inflation in the Euro Area," Applied Economics Letters, Taylor and Francis Journals, vol. 9(6), pages 353-57, May. [Downloadable!] (restricted)
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  6. 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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  8. Martha Misas & Enrique López, . "El Producto Potencial en Colombia: Una Estimación Bajo VAR Estructural," Borradores de Economia 094, Banco de la Republica de Colombia. [Downloadable!]
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  9. Mellander, Erik & Vredin, A & Warne, A, 1992. "Stochastic Trends and Economic Fluctuations in a Small Open Economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 369-94, Oct.-Dec.. [Downloadable!] (restricted)
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  12. Fabio C. Bagliano & Claudio Morana, 1999. "Measuring Core Inflation in Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 58(3-4), pages 301-328, December.
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  14. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155. [Downloadable!]
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  15. P.J.G. Vlaar, 2002. "Shocking the Eurozone," WO Research Memoranda (discontinued) 696, Netherlands Central Bank, Research Department. [Downloadable!]
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  16. Luis Fernando Melo & Franz A.Hamann, . "Inflación Básica.Una Estimación Basada en Modelos VAR Estructurales," Borradores de Economia 093, Banco de la Republica de Colombia. [Downloadable!]
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  17. Fabio C. Bagliano & Claudio Morana, 2003. "A common trends model of UK core inflation," Empirical Economics, Springer, vol. 28(1), pages 157-172, January. [Downloadable!] (restricted)
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  19. repec:bep:sndecm:6:2002:3:1092-1092 is not listed on IDEAS
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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. Luz Adriana Flórez & Carlos Esteban Posada & José Fernando Escobar, 2005. "Crédito Y Depósitos Bancariosen Colombia (1990-2004): Una Relación De Largo Plaz," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE. [Downloadable!]
  2. Andrés González & Luis Fernando Melo & Carlos Esteban Posada, 2006. "Inflación y dinero en Colombia: otro modelo P-estrella," BORRADORES DE ECONOMIA 002851, BANCO DE LA REPÚBLICA. [Downloadable!]
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