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Análisis del comportamiento de la inflación trimestral en Colombia bajo cambios de régimen: Una evidencia a través del modelo "Switching" de Hamilton

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  • Luis Fernando Melo
  • Martha Misas

Abstract

Este trabajo tiene como propósito estudiar la evolución de la inflación trimestral en Colombia, durante el período comprendido entre 1954 y 1996, a través de la metodología de Hamilton(1989) y segundo presentar algunos conceptos relacionados con dicha metodología, la cual introduce cambios de régimen en el análisis convencional de series de tiempo. En general, esta metodología permite estimar modelos ARIMA con parámetros o varianzas cambiantes en el tiempo. En este caso, tales cambios en el modelo de la inflación se suponen asociados a posibles regímenes distintos donde la inflación presenta cambios en su nivel o en su variabilidad . Esta modelación posibilita el reconocimiento de los distintos regímenes a través del tiempo (por ejemplo dos regímenes: inflación alta e inflación baja) en lo referente a su tiempo promedio de duración y a la probabilidad asociada de cada uno de ellos, es decir, la probabilidad de estar en un régimen particular en un momento dado del tiempo. Las probabilidades de transición estimadas, permiten concluir, por ejemplo, que al estar en un régimen de inflación trimestral moderado, la probabilidad de permanecer en éste es muy alta (0.94), en tanto que pasar de éste a un régimen de inflación promedio alta tiene una probabilidad de (0.05), la cual es cinco veces mayor que la estimada para la transición de moderada a baja(0.01). Adicionalmente, se puede observar que la máxima probabilidad de permanecer en un mismo régimen se tienen en aquel caracterizado como de inflación y variabilidad moderadas.

Suggested Citation

  • Luis Fernando Melo & Martha Misas, 1998. "Análisis del comportamiento de la inflación trimestral en Colombia bajo cambios de régimen: Una evidencia a través del modelo "Switching" de Hamilton," Revista de Economía del Rosario, Universidad del Rosario, November.
  • Handle: RePEc:col:000151:001990
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    References listed on IDEAS

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    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "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?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    2. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
    3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    4. Doug Hostland, "undated". "CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications," Staff Working Papers 95-5, Bank of Canada.
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    Cited by:

    1. Martha Misas A. & Enrique López E. & Luis Fernando Melo V., 1999. "La inflación desde una perspectiva monetaria: un modelo P* para Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 0(35), pages 5-53, June.
    2. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia.
    3. Andrés Langebaek R. & Eliana González Molano, 2007. "Inflación Y Precios Relativos En Colombia," Borradores de Economia 459, Banco de la Republica de Colombia.
    4. Enrique López E & Martha Misas A, 1998. "Un Examen Empírico De La Curva De Phillips En Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 17(34), pages 39-87, December.
    5. Héctor Mauricio Nunez Amortegui, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," Revista de Economía del Rosario, Universidad del Rosario, December.
    6. Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006. "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA 21181, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Luis Fernando Melo & Héctor Núñez, 2004. "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
    8. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," Borradores de Economia 3244, Banco de la Republica.
    9. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," Borradores de Economia 2153, Banco de la Republica.
    10. Eliana Gómez & Miguel I. Gómez & Luis F.Melo & José Luis Torres, 2006. "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia 409, Banco de la Republica de Colombia.
    11. Munir A. Jalil & Luis Fernando Melo, 2000. "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
    12. Luis Fernando Melo & Martha Misas A., 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
    13. Norberto Rodríguez & Patricia Siado, 2003. "Un Pronóstico No Paramétrico De La Inflación Colombiana," Borradores de Economia 3691, Banco de la Republica.

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    More about this item

    Keywords

    modelos switching; cadenas de Markov; distribuciones mixtas de probabilidad; modelos ARIMA y teorema de Bayes;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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