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

Author

Listed:
  • 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.

Suggested Citation

  • Andrés González & Hernán Rincóm & Norberto Rodríguez, 2008. "La transmisión de los choques a la tasa de cambio sobre la inflación," Borradores de Economia 5089, Banco de la Republica.
    • Handle: RePEc:col:000094:005089
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    More about this item

    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);
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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