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Expectativas de inflación en Colombia

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Author Info

  • Alejandro Gaviria Jaramillo

    ()

  • Santiago Téllez Alzate

    ()

Abstract

El objetivo de este trabajo es el de descubrir las expectativas de inflación de los mercados a través de la dinámica conjunta de la tasa de interés, la inanición y el ciclo de la economía. Supondremos que los agentes posn expectativas racionales, lo que va a limitar la capacidad de maniobra del gobierno y de las autoridades monetarias. De esta manera, hallaremos que tan cercanas a la realidad son estas expectativas de acuerdo a su diferencia con las realizaciones ex-post de la inflación. En vista que las expectativas de inflación al igual que los componentes cíclico y tendencial del producto son variables no observadas (los datos solo indican el valor total del producto, no cada una de sus partes), utilizaremos el filtro de Kalman bajo un esquema de representación Estado-Espacio para estimarlas.

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File URL: http://www.javeriana.edu.co/fcea/coleccion_universitas_Economica/Vol_10/Vol.10_12_2010.pdf
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Bibliographic Info

Paper provided by UNIVERSIDAD JAVERIANA - BOGOTÁ in its series VNIVERSITAS ECONÓMICA with number 008299.

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Length: 17
Date of creation: 30 Nov 2010
Date of revision:
Handle: RePEc:col:000416:008299

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Related research

Keywords: Expectativas de inflación; Representación Estado Espacio; Filtro de Kalman;

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  1. Rodríguez, Gabriel, 2009. "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers 2009-011, Banco Central de Reserva del Perú.
  2. Martha Misas A. & Diego Mauricio Vásquez, 2002. "Expectativas De Inflación En Colombia: Un Ejercicio Econométrico," BORRADORES DE ECONOMIA 002693, BANCO DE LA REPÚBLICA.
  3. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
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