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Actualización de la descomposición del BEI cuando se dispone de nueva información

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  • Luis Fernando Melo Velandia

    ()

  • José Fernando Moreno Gutiérrez

    ()

Abstract

Este documento utiliza la metodología de Melo et al. (2003) para la actualización de la descomposición del Break Even Inflation (BEI) presentado en Melo y Granados (2010) cuando se dispone de nuevas observaciones. El procedimiento de actualización utiliza una transformación del modelo de estado espacio del BEI en el que se supone que los parámetros del modelo siguen una caminata aleatoria.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 007333.

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Length: 9
Date of creation: 22 Aug 2010
Date of revision:
Handle: RePEc:col:000094:007333

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Keywords: Break even inflation; filtro de Kalman; modelos de estado espacio.;

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  1. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
  2. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  3. Luis Fernando Melo & Fabio Nieto & Mario Ramos, . "A Leading Index for the Colombian Economic Activity," Borradores de Economia 243, Banco de la Republica de Colombia.
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