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La Inflación Desde Una Perspectiva Monetaria : Un Modelo P* Para Colombia

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Author Info
Martha Misas Arango ()
Enrique López Enciso ()
Luis Fernando Melo velandia ()

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Abstract

El objetivo de este documento es presentar un modelo monetario para el pronóstico de la inflación trimestral en Colombia. El modelo teórico que sirve como base para este ejercicio empírico se conoce en la literatura como P*. Este modelo se plantea, a finales de la década de los ochenta, como una versión formalizada de la percepción, ampliamente difundida, del origen monetario de la inflación en el largo plazo. El modelo sugiere que la desviación del dinero de su senda de largo plazo permite explicar la senda futura de la inflación. El modelo original, tal como fue concebido, supone que la velocidad de circulación del dinero, entendida ésta como la razón entre el producto nominal y el agregado monetario, es estable en el largo plazo. Sin embargo, en una época de innovaciones financieras esta exigencia no se cumple para muchos países, hecho que ha llevado a una profusa literatura que busca ofrecer soluciones plausibles para abordar el modelo y mantener su fundamento teórico esencial. En la segunda sección, que sigue a esta introducción, se presenta el modelo P* teórico, soporte de este trabajo. En la tercera sección se aborda el tema de los supuestos en que se apoya el modelo, en especial el de la estabilidad de la velocidad de circulación del dinero. Se examinan también las alternativas de corrección al modelo P* que se han presentado en la literatura. Con base en los aportes que esta discusión ofrece, en la sección cuarta se propone la aplicación de un modelo P* modificado para la economía colombiana. La estrategia utilizada permite estimar el modelo original para un tipo de agregado monetario mientras que el modelo modificado se estima para los agregados cuya velocidad no es estacionaria. La sección siguiente evalúa el desempeño en pronóstico de estos modelos entre sí mismos y frente a modelos rivales. La última sección concluye.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003028.

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Length: 38
Date of creation: 31 Oct 1999
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Handle: RePEc:col:000094:003028

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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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    Other versions:
  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)
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  5. Martha Misas & Carlos Esteban Posada, . "P-Estrella en Colombia: Un punto de vista sobre la inflación," Borradores de Economia 016, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  6. Bordo, Michael D & Jonung, Lars & Siklos, Pierre L, 1997. "Institutional Change and the Velocity of Money: A Century of Evidence," Economic Inquiry, Oxford University Press, vol. 35(4), pages 710-24, October.
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  8. Luis Fernando Melo & Martha Misas, . "Análisis del Comportamiento de la Inflación Trimestral en Colombia Bajo Cambios de Régimen: Una Evidencia a Través del Modelo: "Switching" de Hamilton," Borradores de Economia 086, Banco de la Republica de Colombia. [Downloadable!]
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  9. Sean Collins & Cheryl L. Edwards, 1994. "An alternative monetary aggregate: M2 plus household holdings of bond and equity mutual funds," Proceedings, Federal Reserve Bank of St. Louis, issue Nov, pages 7-29. [Downloadable!]
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  18. Unknown, 1999. "Editorial," Research Policy, Elsevier, vol. 28(2-3), pages 107-117, March. [Downloadable!] (restricted)
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  24. Unknown, 1999. "Editorial," European Journal of Operational Research, Elsevier, vol. 118(2), pages 213-216, October. [Downloadable!] (restricted)
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  28. King, Robert G., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 169-172, January. [Downloadable!] (restricted)
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  30. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-92, September. [Downloadable!] (restricted)
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Full references

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. Miguel Urrutia, 2002. "UNA VISIÓN ALTERNATIVA: La Política Monetaria y Cambiaria en la Última Década," BORRADORES DE ECONOMIA 003731, BANCO DE LA REPÚBLICA. [Downloadable!]
    Other versions:
  2. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," BORRADORES DE INVESTIGACIÓN 003296, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
  3. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, . "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  4. 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!]
    Other versions:
  5. Martha Misas & Enrique López & Pablo Querubín, . "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 199, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  6. Javier Gómez & José Darío Uribe & Hernando Vargas, . "The Implementation of Inflation Targeting in Colombia," Borradores de Economia 202, Banco de la Republica de Colombia. [Downloadable!]
  7. Sergio Clavijo, 2000. "Reflexiones Sobre Política Monetaria E "Inflación Objetivo" En Colombia," BORRADORES DE ECONOMIA 003423, BANCO DE LA REPÚBLICA. [Downloadable!]
  8. Sergio Clavijo, . "Reflexiones Sobre Política Monetaria e "Inflación Objetivo" en Colombia," Borradores de Economia 141, Banco de la Republica de Colombia. [Downloadable!]
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