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Notas sobre la Tasa de Interés y la Inflación en Colombia

  • Juan Carlos Echeverry
  • Marcela Eslava

El presente documento reúne una serie de notas que estudian aspectos empíricos del comportamiento de la tasa de interés y la inflación en Colombia. La presentación se divide en dos secciones. La primera analiza la relación entre la tasa de interés y la inflación, con el fin de evaluar el empleo de la tasa de interés como instrumento de la política monetaria. Esta indagación se aborda en tres pasos: primero, se estudia la relación entre las diferentes tasas de interés de mercado, esto es, la tasa interbancaria, la de captaciones del sistema financiero y la de créditos. Se utilizan dos herramientas empíricas, el análisis espectral (del cual se presenta una explicación), y los vectores autorregresivos. Se concluye que es posible afectar las tasas de colocación y captación, en plazos razonables, a través de intervenciones sobre la tasa interbancaria. A partir de este hecho, el segundo paso analiza la relación entre la tasa de interés (nominal y real), la inflación y la actividad económica. Finalmente, dado que la tasa de interés real relevante en este tipo de análisis es aquella ex- ante, se elabora un cálculo de dicha tasa, y su relación con la tasa ex-post. La segunda sección del documento se centra en dos aspectos puntuales de la inflación en Colombia: La identificación de un indicador lider de la inflación y la estimación de un tipo de costo de la inflación en Colombia, basado en la variabilidad de precios relativos. El indicador líder está elaborado a partir de las colas de la distribución de cambios en los componentes del IPC. En cuanto a la última sección, un aporte importante de ésta es el uso de un empalme de las tres series existentes de IPC, que permite tener datos unificados desde 1972 hasta el presente. La metodología empleada para elaborar este empalme se presenta en el apéndice.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 078.

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Handle: RePEc:bdr:borrec:078
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  1. Fischer, Stanley, 1981. "Towards an understanding of the costs of inflation: II," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 15(1), pages 5-41, January.
  2. Tomás J. T. Baliño & Charles Enoch & William E. Alexander, 1995. "The Adoption of Indirect Instruments of Monetary Policy," IMF Occasional Papers 126, International Monetary Fund.
  3. Frederic S. Mishkin, 1984. "The Real Interest Rate: A Multi-Country Empirical Study," Canadian Journal of Economics, Canadian Economics Association, vol. 17(2), pages 283-311, May.
  4. Lori L. Taylor & Mine K. Yücel, 1996. "The interest rate sensitivity of Texas industry," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q II, pages 27-33.
  5. Williamson, John, 1982. "On the characterization of good economic policy: Is there a consensus?," World Development, Elsevier, vol. 10(9), pages 695-700, September.
  6. Benabou, Roland & Gertner, Robert, 1993. "Search with Learning from Prices: Does Increased Inflationary Uncertainty Lead to Higher Markups?," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 69-94, January.
  7. Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, June.
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