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Usando información adicional en la estimación de la brecha producto en el Perú: una aproximación multivariada de componentes no observados

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Author Info
Gonzalo Llosa () (Central Bank of Peru)
Shirley Miller () (Central Bank of Peru)

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Abstract

Uno de los elementos claves para el régimen de metas de inflación es la correcta identificación de las presiones inflacionarias y deflacionarias a través de la brecha producto. En este trabajo brindamos una estimación de la brecha producto para la economía peruana utilizando un modelo multivariado de componentes no observados (MUC), el cual se basa en una relación explícita de corto plazo entre la inflación y la brecha producto (Curva de Phillips) y restricciones estructurales sobre la dinámica del producto. Los resultados muestran que el estimado MUC de la brecha producto es menos sensible al problema de fin de muestra y exhibe una dinámica más cercana al proceso de inflación que las brechas estimadas a partir de metodologías estándares.

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File URL: http://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2005_004_es.pdf
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Publisher Info
Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2005-004.

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Date of creation: Feb 2005
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Handle: RePEc:rbp:wpaper:2005-0041

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Postal: Jr. Miro Quesada 441, Lima
Phone: 427-6250 ext. 3841
Fax: 426-6125
Web page: http://www.bcrp.gob.pe
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Related research
Keywords: Brecha producto Inflación Modelo de componentes no observados

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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This page was last updated on 2008-9-21.

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