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Relevancia de los datos en tiempo real en la estimación de la regla de Taylor para Colombia

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  • Gloria Lucía Bernal Nisperuza

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  • Johanna Táutiva Pradere
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    Abstract

    Los datos de variables macroeconómicas usados por los agentes y hacedores de política para la toma de decisiones y aquellos usados por los investigadores para la evaluación de dichas decisiones podrían no ser comparables, pues estos últimos son revisados y actualizados continuamente por las entidades estadísticas. Este trabajo compara las predicciones de una regla de Taylor para Colombia que serían obtenidas utilizando datos en tiempo real (DTR) y utilizando datos revisados del PIB. Para esto, se construyó una base de datos en tiempo real (BDTR) del periodo comprendido entre el trimestre II-2003 y el trimestre I-2008 de tal manera que se puedan estudiar las diferencias debidas a las actualizaciones en el corto plazo. Los resultados muestran que si dicha regla se estima con la información actualizada, se observa que el Banco de la República aparecería reaccionando “poco” a la tasa de inflación (con un coeficiente menor que uno), mientras que con la información en tiempo real, dicho coeficiente es mayor que uno. Finalmente se sugiere que la especificación, estimación, pronóstico y recomendación de una regla de política monetaria, podría cambiar y mejorar significativamente si se usa información en tiempo real

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    File URL: http://www.javeriana.edu.co/fcea/area_economia/inv/documents/Relevanciadelosdatosentiemporeal.pdf
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    Bibliographic Info

    Paper provided by UNIVERSIDAD JAVERIANA - BOGOTÁ in its series DOCUMENTOS DE ECONOMÍA with number 005421.

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    Length: 41
    Date of creation: 16 Oct 2008
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    Handle: RePEc:col:000108:005421

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    1. Glenn D. Rudebusch, 1996. "Do measures of monetary policy in a VAR make sense?," Working Papers in Applied Economic Theory 96-05, Federal Reserve Bank of San Francisco.
    2. Andrés Felipe Giraldo Palomino, 2008. "Aversión a la inflación y regla de Taylor en Colombia 1994-2005," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.
    3. Elliott, Graham, 2002. "Comments on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 533-539, December.
    4. Croushore, Dean, 2006. "Forecasting with Real-Time Macroeconomic Data," Handbook of Economic Forecasting, Elsevier.
    5. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense? A Reply," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 943-48, November.
    6. Juan Manuel Julio & Javier Gómez, . "Output Gap Estimation, Estimation Uncertainty and its Effect on Policy Rules," Borradores de Economia 125, Banco de la Republica de Colombia.
    7. Juan Manuel Julio Román, 2006. "The Monetary Policy Rule During The Transition Toa Stable Lvel Of Inflation: The Case Of Colombia," BORRADORES DE ECONOMIA 003613, BANCO DE LA REPÚBLICA.
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    Cited by:
    1. Andrés Felipe Giraldo & Martha Misas Arango & Edgar Villa Pérez, 2011. "Reconstructing the recent monetary policy history of Colombia from 1990 to 2010," VNIVERSITAS ECONÓMICA 008860, UNIVERSIDAD JAVERIANA - BOGOTÁ.

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