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Dinero, precios, tasa de interés y actividad económica: un modelo del caso colombiano 1984:I-2003:IV

  • José Fernando Escobar R.

    (Banco de la República Colombia)

  • Carlos Esteban Posada P.

    (Banco de la República Colombia)

A partir de un esquema de oferta y demanda de dinero se estimó un modelo de relaciones de corto y largo plazo entre cinco variables: base monetaria, dinero (M1), tasa de interés, producto y nivel de precios al consumidor (cifras trimestrales desde 1984:I hasta 2003:IV). El modelo es del tipo denominado SVEC (Structural Vector Error Correction). Los parámetros de las funciones de oferta y demanda de dinero son compatibles con las restricciones teóricas convencionales. La estimación utilizó la metodología de tendencias estocásticas comunes para realizar un análisis de impulsorespuesta y un ejercicio de pronóstico con las posibles variables débilmente exógenas.

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Article provided by Centro de Estudios Monetarios Latinoamericanos in its journal Monetaria.

Volume (Year): XXVIII (2005)
Issue (Month): 1 (enero-marzo)
Pages: 1-34

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Handle: RePEc:cml:moneta:v:xxviii:y:2005:i:1:p:1-34
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  1. P.J.G. Vlaar, 1998. "On the asymptotic distribution of impulse response functions with long run restrictions," WO Research Memoranda (discontinued) 539, Netherlands Central Bank, Research Department.
  2. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," NBER Working Papers 8403, National Bureau of Economic Research, Inc.
  3. Baghestani, Hamid & Mott, Tracy, 1997. "A Cointegration Analysis of the U.S. Money Supply Process," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 269-283, April.
  4. Javier Gómez P., 1998. "La Demanda Por Dinero En Colombia," BORRADORES DE ECONOMIA 002969, BANCO DE LA REPÚBLICA.
  5. Mellander, Erik & Vredin, A & Warne, A, 1992. "Stochastic Trends and Economic Fluctuations in a Small Open Economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 369-94, Oct.-Dec..
  6. Richard G. Anderson & Dennis L. Hoffman & Robert H. Rasche, 2001. "A vector error correction forecasting model of the U.S. economy," Working Papers 1998-008, Federal Reserve Bank of St. Louis.
  7. Martha Misas & Hugo Oliveros, . "Cointegración, exogeneidad y Crítica de Lucas: Funciones de Demanda de Dinero en Colombia: Un ejercicio más," Borradores de Economia 075, Banco de la Republica de Colombia.
  8. Fabio Bagliano & Roberto Golinelli & Claudio Morana, 2002. "Core inflation in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 353-357.
  9. Martin Schmidt, 2003. "Monetary dynamics: a market approach," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 139-152.
  10. Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 2002. "Identifying the Effects of Monetary Policy Shocks in an Open Economy," Working Paper Series 134, Sveriges Riksbank (Central Bank of Sweden).
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