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La Inflación desde una Perspectiva Monetaria: Un Modelo P* para Colombia

  • Martha Misas

    ()

  • Enrique López

    ()

  • Luis Fernando Melo

    ()

El objetivo de este trabajo es presentar un modelo monetario para el pronóstico de la inflación en Colombia. El modelo teórico que sirve como base del ejercicio empírico se conoce en la literatura como P*. Este modelo es una versión formalizada de la percepción según la cual la inflación en el largo plazo tiene un origen monetario.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 133.

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  1. Martha ;Misas Arango & Carlos Esteban Posada Posada, 1995. "P- Estrella En Colombia: Un Punto De Vista Sobre La Inflación," BORRADORES DE ECONOMIA 003312, BANCO DE LA REPÚBLICA.
  2. Lars E. O. Svensson, 2000. "Does the P* Model Provide Any Rationale for Monetary Targeting?," German Economic Review, Verein für Socialpolitik, vol. 1(1), pages 69-81, 02.
  3. Enrique López E. & Martha Misas A., 1998. "Un examen empírico de la curva de Phillips en Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 17(34), pages 39-87, Diciembre.
  4. Frederic S. Mishkin, 1990. "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics, Oxford University Press, vol. 105(3), pages 815-828.
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  6. Engert, Walter & Hendry, Scott, 1998. "Forecasting Inflation with the M1-VECM: Part Two," Staff Working Papers 98-6, Bank of Canada.
  7. King, Robert G., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 169-172, January.
  8. Gregory D. Hess & Charles S. Morris, 1995. "Money is what money predicts: the M* model of the price level," Research Working Paper 95-05, Federal Reserve Bank of Kansas City.
  9. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  10. Luis Fernando Melo & Martha Misas, . "Análisis del Comportamiento de la Inflación Trimestral en Colombia Bajo Cambios de Régimen: Una Evidencia a Través del Modelo: "Switching" de Hamilton," Borradores de Economia 086, Banco de la Republica de Colombia.
  11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  12. Siklos, P.L., 1991. "Income Velocity and Institutional Change: Some New Time Series Evidence, 1870-1986," Working Papers 91150, Wilfrid Laurier University, Department of Economics.
  13. Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, EconWPA.
  14. Lee, Jim, 1999. "Alternative P* Models of Inflation Forecasts," Economic Inquiry, Western Economic Association International, vol. 37(2), pages 312-25, April.
  15. Martha Misas & Hugo Oliveros, . "Cointegración, exogeneidad y Crítica de Lucas: Funciones de Demanda de Dinero en Colombia: Un ejercicio más," Borradores de Economia 075, Banco de la Republica de Colombia.
  16. Elkin Castaño & Luis Fernando Melo, . "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia.
  17. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
  18. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
  19. Goldfeld, Stephen M. & Sichel, Daniel E., 1990. "The demand for money," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 8, pages 299-356 Elsevier.
  20. Atta-Mensah, J, 1996. "A Modified P*-Model of Inflation Based on M1," Staff Working Papers 96-15, Bank of Canada.
  21. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-92, September.
  22. Lucas, Robert E., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 137-167, January.
  23. Bordo, Michael D & Jonung, Lars & Siklos, Pierre L, 1997. "Institutional Change and the Velocity of Money: A Century of Evidence," Economic Inquiry, Western Economic Association International, vol. 35(4), pages 710-24, October.
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