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Expectativas y prima por riesgo inflacionario con una medida de compensación a la inflación

Listed author(s):
  • Melo, Luis Fernando

    (Banco de la República, Bogotá)

  • Granados, Joan Camilo

    (Banco de la República, Bogotá)

We estimate the Break Even Inflation using the nominal and real government Colombian bonds for the period January 2003 to November 2009. This measure is decomposed in inflation expectations and inflation risk premium. The inflation expectations are calculated using a state-space representation of an extended affine term structure model. In order to improve the forecasts, this model incorporates the inflation expectations 12 months ahead of the Colombian Central Bank survey. The results show an inflation expectation downward trend, which may be related to an increasing confidence in monetary policy. This hypothesis is also supported by a decreasing trend in the inflation risk premium for medium and long term maturities (two and five years). Finally, the results indicate that the break even inflation is a good indicator of the inflation expectations for the short term forecast horizon (one year).// En este documento se estima una medida de compensación inflacionaria (Break Even Inflation) usando los rendimientos de los bonos de deuda del gobierno colombiano (TES) en pesos e indizados a unidades de valor real (UVR) para el periodo comprendido entre enero de 2003 y noviembre de 2009. Esta medida se descompone en expectativas de inflación y prima por riesgo inflacionario. Las expectativas de inflación se calculan con base en la representación de estado espacio de un modelo afín de estructura a término extendido. Con objeto de mejorar los pronósticos, este modelo incorpora las expectativas de inflación a 12 meses de la encuesta mensual del Banco de la República. Los resultados muestran una tendencia a la baja tanto de las expectativas de inflación como de la prima por riesgo inflacionario. Esto puede deberse al aumento de la confianza en la política monetaria por parte de los agentes. Además, los resultados indican que a corto plazo, la compensación inflacionaria es un buen indicador de expectativas de inflación

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Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXIX (4) (2012)
Issue (Month): 316 (octubre-diciembre)
Pages: 839-864

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Handle: RePEc:elt:journl:v:79:y:2012:i:316:p:839-864
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