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La transmisión de los choques a la tasa de cambio sobre la inflación

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Author Info

  • Andrés González

    ()

  • Hernán Rincóm

    ()

  • Norberto Rodríguez

    ()

Abstract

En este documento estimamos el grado de transmisión de corto y largo plazo sobre lainflación de los bienes importados de un choque a la tasa de devaluación nominal enpresencia de asimetrías. Utilizamos una ecuación estándar de pass-through para modeloscon competencia imperfecta, datos trimestrales de Colombia para el período 1985 a 2007 ymodelos econométricos lineales y no lineales. Los resultados muestran que la transmisiónes menos que proporcional, sin importar el plazo considerado. También se encuentra que elgrado y la dinámica de la transmisión son endógenos y asimétricos al signo, tamaño yvolatilidad de los tasa de cambio y al estado de la economía. La transmisión es mayorcuando la economía está en auge, es más abierta, las firmas esperan que los movimientos enla tasa de cambio sean permanentes, la tasa de cambio real está depreciada, la tasa decambio nominal se devalúa y la inflación es mayor.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 005089.

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Length: 42
Date of creation: 01 Oct 2008
Date of revision:
Handle: RePEc:col:000094:005089

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Keywords: transmisión de los choques a la devaluación sobre la inflación (exchangerate pass-through); asimetrías; modelo VAR-lineal; modelo VAR de regresión no lineal detransición suave logística (VAR-LSTR);

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