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Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano

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  • Juan Andrés Espinosa-Torres

    ()

  • Luis Fernando Melo-Velandia

    ()

  • José Fernando Moreno-Gutiérrez

    ()

Abstract

Se estima la descomposición del break-even inflation a partir de un modelo afín de seis factores de la estructura a términos, nominal y real, de los bonos soberanos de Colombia, dentro de los cuales se incluye un factor asociado a la liquidez. Esta medida se descompone en expectativas de inflación, prima de riesgo inflacionario y prima de liquidez para el período comprendido entre junio del 2004 y abril del 2015. Los resultados obtenidos indican que el break-even inflation es una medida apropiada de las expectativas de inflación en el corto plazo (dos años). Además, se encuentra que la prima de riesgo inflacionario disminuye en el tiempo, lo que se puede deber al aumento de la confianza en la política monetaria por parte de los agentes. Por último, la prima de liquidez toma valores muy pequeños para la mayoría de los períodos de tiempo y solo tiene efectos considerables durante ciertos episodios a lo largo de la curva de rendimientos, como el ocurrido durante el primer semestre del 2006

Suggested Citation

  • Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
  • Handle: RePEc:col:000090:015464
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    References listed on IDEAS

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    Keywords

    estructura a términos de las tasas de interés; modelo afín; break-even inflation; expectativas de inflación; prima de riesgo inflacionario; prima de liquidez (palabras clave del autor).;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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