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Un análisis de cambio estructural en la persistencia de la inflación en México usando la regresión cuantílica

Author

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  • Acosta, Marco A.

    (Banco de México)

Abstract

Background. It is well documented that inflation persistence in Mexico has experienced an unstable behavior through time at the conditional mean distribution. However, its behavior at conditional quantiles of the distribution have been not explored. Methods. This study determines the periods in which inflation persistence in Mexico presented structural changes in its conditional distribution using a quantile regression approach. Additionally, the article examines for each period, if inflation follows a stationary behavior using the Quantile Kolmogorov-Smirnov test, estimate the persistence of inflation shocks, and analyze if inflation is converging to the long-term inflation target of 3% impose by the Central Bank. Results. The episodes found coincided with periods when Mexico’s economic policies underwent drastic changes that altered the price formation process. The evidence indicates that inflation shocks present an asymmetric behavior, while high magnitude negative shocks rapidly vanish, high magnitude positive shocks tend to be long lasting. Inflation converged to a stationary process in all its conditional quantiles under the inflation targeting regime. Besides, since 2009 the hypothesis that inflation adjusted for seasonal effects remains within the range variability of ± 1% point of the long-term inflation target of three percent cannot be statistically rejected. Conclusion. The quantile regression is a useful and convenient statistical tool to analyze inflation persistence. In particular, it gives a clear picture about the periods in which inflation changed, and on the impact of inflation shocks in a specific quantile.// Antecedentes. Se ha documentado que la persistencia de la inflación en México ha experimentado un comportamiento inestable a lo largo del tiempo en la distribución de la media condicional. Sin embargo, su comportamiento no ha sido explorado en sus cuantiles condicionales. Métodos. Este estudio determina los periodos en que la persistencia de la inflación en México presentó un cambio estructural en su distribución, usando el método de regresión cuantílica. Adicionalmente, el artículo examina para cada uno de los periodos encontrados si la inflación sigue un comportamiento estacionario, valiéndose de la prueba cuantílica de Kolmogorov-Smirnov; además estima la persistencia de los choques a la inflación y analiza si la inflación se encuentra convergiendo hacia la meta de inflación de largo plazo de 3% impuesta por el Banco Central. Resultados. Los episodios encontrados coinciden con periodos en los que las políticas económicas de México experimentaron cambios drásticos que alteraron el proceso de formación de precios. La evidencia indica que los choques a la inflación presentan un comportamiento asimétrico, pues mientras los choques negativos de magnitud alta se desvanecen de manera rápida, los choques positivos de magnitud alta se caracterizan por tener un efecto duradero. La inflación convergió en un proceso estacionario en todos sus cuantiles condicionales bajo el régimen de objetivos de inflación. Además, a partir de 2009 no se puede rechazar estadísticamente que la inflación general ajustada por efectos estacionales se encuentre dentro del rango de variabilidad de +-1% del objetivo de largo plazo de la inflación ubicado en 3%. Conclusión. La regresión cuantílica es una herramienta estadística útil y conveniente para analizar la persistencia de la inflación. Particularmente, da una idea clara acerca de los periodos en los cuales la persistencia en la inflación cambió y del impacto de los choques a la inflación en un cuantil específico.

Suggested Citation

  • Acosta, Marco A., 2018. "Un análisis de cambio estructural en la persistencia de la inflación en México usando la regresión cuantílica," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(337), pages .169-193, enero-mar.
  • Handle: RePEc:elt:journl:v:85:y:2018:i:337:p:169-193
    DOI: http://dx.doi.org/10.20430/ete.v85i337.663
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    Cited by:

    1. Marco A. Acosta, 2017. "Anchoring of Inflation Expectations in Mexico," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 95-132, January-J.

    More about this item

    Keywords

    inflación; regresión cuantílica; cambio en persistencias; estacionariedad.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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