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Reestimación del grado de transmisión de la tasa de cambio del peso sobre la inflación de los bienes importados

Author

Listed:
  • Hernán Rincón
  • Norberto Rodríguez

Abstract

Conocer el grado de transmisión de los cambios en la tasa de cambio sobre la inflación interna es un interrogante constante de las autoridades monetarias de cualquier país. En este documento se reestima el grado de transmisión de corto y mediano plazo de las variaciones de la tasa de cambio del peso colombiano sobre la inflación de los bienes importados, estimados en González et al. (2010). Se utilizan datos trimestrales de Colombia para el período 1985-2014 y un modelo VAR no lineal de transición suave logística. Los resultados muestran que los grados de transmisión en general se mantienen, a pesar de la ampliación del período de estudio, que cubre la crisis financiera internacional 2007-2009, y de ajustes a la metodología econométrica implementada. Se concluye que el grado transmisión es incompleto, endógeno y asimétrico, tanto en el corto como en el mediano plazo. Además, que un choque a la variación de la tasa de cambio se transmite a la inflación de los bienes importados en grados que varían entre 12% y 88%.

Suggested Citation

  • Hernán Rincón & Norberto Rodríguez, 2014. "Reestimación del grado de transmisión de la tasa de cambio del peso sobre la inflación de los bienes importados," Borradores de Economia 12302, Banco de la Republica.
    • Handle: RePEc:col:000094:012302
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    References listed on IDEAS

    as
    1. Taylor, John B., 2000. "Low inflation, pass-through, and the pricing power of firms," European Economic Review, Elsevier, vol. 44(7), pages 1389-1408, June.
    2. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-121, January.
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    More about this item

    Keywords

    Transmisión de la tasa de cambio (exchange rate pass-through); endogeneidad; asimetrías; modelo VAR-LST.;
    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

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