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Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017

Author

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  • Eduardo Rosas Rojas
  • Teresa L�pez Gonz�lez

Abstract

Este artículo examina la relación entre inflación e incertidumbre inflacionaria para la economía de México durante el periodo que comprende enero de 1969 a febrero de 2017, utilizando modelos SARMA-GARCH y sus extensiones GJR-GARCH-M y E-GARCH-M. Entre los hallazgos es posible evidenciar un efecto causal negativo de la incertidumbre inflacionaria sobre la inflación (cumplimiento de la hipótesis de Holland), lo cual indica que el Banco de México exhibe un comportamiento estabilizador ante la inflación. También se corrobora el cumplimiento de la hipótesis de Friedman-Ball, que establece que altos niveles de inflación incrementan la incertidumbre inflacionaria.

Suggested Citation

  • Eduardo Rosas Rojas & Teresa L�pez Gonz�lez, 2018. "Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 10(2), pages 349-372.
    • Handle: RePEc:col:000443:016929
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    References listed on IDEAS

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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