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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

Author

Listed:
  • Juan Andrés Espinosa-Torres
  • Luis Fernando Melo-Velandia
  • Jos� Fernando Moreno-Guti�rrez

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 anos). 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 pequenos 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 & Jos� Fernando Moreno-Guti�rrez, 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,Facultad de Economía, CEDE, vol. 78.
    • Handle: RePEc:col:000090:015464
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    Cited by:

    1. Camilo Beyzaga E. & Luis Ceballos S., 2017. "Compensación inflacionaria y premios por riesgo: evidencia para Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(2), pages 150-165, August.
    2. Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2024. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.
    3. Romero, José Vicente & Naranjo-Saldarriaga, Sara, 2024. "Weather shocks and inflation expectations in semi-structural models," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(2).
    4. Andres Sanchez-Jabba & Erick Villabon-Hinestroza, 2024. "The measure matters: differences in the passthrough of inflation expectations in Colombia," BIS Working Papers 1205, Bank for International Settlements.
    5. Garcia, Juan Angel & Gimeno, Ricardo, 2024. "Navigating high inflation: A joint analysis of inflation dynamics and long-term inflation expectations in Latin America," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(4).

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    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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