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La tasa de interés natural en Colombia

In: Estimación y Uso de Variables no Observables en la Región

Author

Listed:
  • Juan José Echavarría Soto
  • Enrique López Enciso
  • Martha Misas Arango
  • Juana Téllez Corredor
  • Juan Carlos Parra Álvarez

    (Banco de la República)

Abstract

En este artículo se estima para Colombia la tasa de interés natural (TIN) para el período 1982-2005, con base en las metodologías propuestas por Laubach y Williams (2001) y Mésonnier y Renne (2004). Un modelo neokeynesiano es la base de la estimación de la TIN de “mediano plazo” como una variable no observada que cambia en el tiempo. Tal estimación se realiza mediante un filtro de Kalman que estima simultáneamente la TIN y la brecha del producto para la economía colombiana. Se sugiere que la política monetaria fue contraccionista en 1998 y 1999, y relativamente expansiva en los años recientes, aún cuando los resultados no son tan claros cuando se trabaja con los promedios móviles de la TIN. La brecha del producto ha sido positiva en 2003 y 2004, confirmando los resultados de otros trabajos en el área.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2008. "La tasa de interés natural en Colombia," Investigación Conjunta-Joint Research, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 7, pages 164-201, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
  • Handle: RePEc:cml:incocp:1-07
    Note: Programa de Investigación Conjunta: XII Reunión de la Red de Investigadores de Banca Central del Continente Americano. Realizada en el Banco de España, Madrid, del 5 al 7 de noviembre de 2007
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    References listed on IDEAS

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    Cited by:

    1. Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2011. "Estimations of the Natural Rate of Interest in Colombia," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 33-75, January-J.
    2. Rhenals M., Remberto & Saldarriaga, Juan Pablo, 2008. "Una regla de Taylor óptima para Colombia, 1991-2006," Revista Lecturas de Economía, Universidad de Antioquia - CIE, November.
    3. Jorge Enrique Restrepo Londoño, 1998. "Reglas monetarias en una economía pequeña y abierta," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 17(33), pages 61-84, July.

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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