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Some Evidence Of Smooth Transition Nonlinearity In Colombian Inflation

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Luis Eduardo Arango ()
Andrés González

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Abstract

Evidence of smooth transition autoregressive (STAR) representations is found in two, out of three, time series of different measures of annual inflation in Colombia during this decade for monthly data. The STAR-type nonlinearities are asymmetric for inflation computed as the variation of CPI while for (a measure of ) core inflation are symmetric. Thus, LSTAR and ESTAR models were, respectively, estimated. No evidence of nonlinearity is found for traded goods inflation. Given the local dynamic properties of the estimated LSTAR model, only positive shocks to prices could shift negative accelerating inflation rate from the upper to the lower regime. By the same token, only stochastic shocks can move the core accelerating inflation rate from the outer regime to the middle one but the explosive nature of this regime will impulse the accelerating inflation rate to the outer one.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003515.

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Length: 16
Date of creation: 30 Sep 1998
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Handle: RePEc:col:000094:003515

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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. Peel, D A & Speight, A E H, 1998. "Threshold Nonlinearities in Output: Some International Evidence," Applied Economics, Taylor and Francis Journals, vol. 30(3), pages 323-33, March. [Downloadable!] (restricted)
  2. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  3. Danny Quah & Shaun Vahey, . "Measuring Core Inflation," Bank of England working papers 31, Bank of England.
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  4. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 311-326 National Bureau of Economic Research, Inc. [Downloadable!]
  5. Cao, C Q & Tsay, R S, 1992. "Nonlinear Time-Series Analysis of Stock Volatilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S165-85, Suppl. De. [Downloadable!] (restricted)
  6. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  7. 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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  8. N. Gregory Mankiw, 1994. "Monetary Policy," NBER Books, National Bureau of Economic Research, Inc, number greg94-1.
  9. Luis Eduardo Arango, . "Some Univariate Time Series Properties of Output," Borradores de Economia 100, Banco de la Republica de Colombia. [Downloadable!]
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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. Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
  2. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA. [Downloadable!]
    Other versions:
  3. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion," CAFO Working Papers 2009:6, Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University. [Downloadable!]
  4. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 65, pages 73-116, Julio-Dic. [Downloadable!]
  5. Aristizábal, María Clara, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economia, UNIVERSIDAD DE ANTIOQUIA - CIE. [Downloadable!]
  6. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia. [Downloadable!]
  7. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia. [Downloadable!]
  8. Pillai N., Vijayamohanan, 2008. "In Quest of Truth: The War of Methods in Economics," MPRA Paper 8866, University Library of Munich, Germany. [Downloadable!]
  9. 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:
  10. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation 184, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies. [Downloadable!]
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