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Choques grandes / Choques pequeños: Evidencia del Log (IPC) e inflación colombianos

  • Juan Manuel Julio

    ()

A pesar de que en Colombia se acepta la intuición de que "el nivel medio de la inflación anual no cambia durante lapsos de tiempo muy largos", la afirmación contraria de que esta "tiene una raíz unitaria" aparece con frecuencia en la literatura empírica. Una explicación a tal contradicción surge de la poca veracidad de las pruebas estándar de raíz unitaria y de la exclusión de alternativas plausibles como las que sugiere nuestra intuición. Ahora bien, si nuestra percepción resulta ser verdadera, ésta implica la existencia de dos tipos de innovaciones que afectan la inflación: los "choques grandes", que producen cambios en el nivel medio o estado estacionario de la inflación, y los "choques pequeños", que producen los movimientos alrededor de estado estacionario. En este artículo se concluye, a través de pruebas muy potentes, que: 1. La inflación estacionaria alrededor de una media que cambia con poca frecuencia debido a los "choques grandes" y 2., y mejor que lo anterior, que el Log(IPC) es estacionario alrededor de una tendencia lineal con quiebres. Esto contrasta con las concepciones anteriores acerca de la inflación colombiana, ya que los únicos eventos que tienen efecto permanente son los relacionados con los "choques grandes", cuyas fechas de aparición se identifican en este trabajo. Futuras investigaciones sobre los eventos que causaron los quiebres deben conducir de manera natural a formular modelos para la inflación, el comportamiento de los agentes y de autoridad económica.

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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (1995)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000107:007519
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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  4. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
  5. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
  6. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
  7. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
  8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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