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Una Relación no Líneal entre Inflación y los Medios de Pago

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  • Munir A. Jalil
  • Luis Fernando Melo

Abstract

Con la adopción de la política de "Inflación Objetivo" en un buen número de países, uno de los principales objetivos de los bancos centrales se ha convertido en encontrar modelos que puedan dar una idea de la trayectoria de la inflación en el largo plazo. En este orden de ideas el presente artículo trata de establecer una relación entre inflación y un agregado monetario para el caso colombiano utilizando información mensual desde febrero de 1985 hasta abril de 1999. Una de las restricciones comunes que implican el estudio de la relación entre M1 e inflación utilizando modelos lineales consiste en la simetría de la función de impulso respuesta(FIR). Así,un choque positivo sobre M1 tiene el mismo efecto sobre el sistema que uno negativo. Más aún, la dinámica de la FIR no depende de la fecha cuando el choque es dado. Sin embargo, dadas las características especiales que gobiernan esta relación en Colombia, es posible pensar que las restricciones anteriores no son necesariamente válidas. En este documento se encuentra una relación no-lineal entre inflación y crecimiento de M1 utilizando un modelo de Regresión de Transición Suave (STR). Una de las principales características de este nuevo modelo está relacionada con su capacidad de pronóstico. Utilizando varios estadísticos de evaluación y comparando estos con otros modelos utilizados en el Banco de la República, el modelo aquí hallado es el mejor para pronosticar la inflación de largo plazo (18 a 24 meses). Adicionalmente,este modelo puede ser utilizado para probar la existencia de comportamiento asimétrico en la inflación originado por un choque en M1. Sobre este último punto la evidencia encontrada no es clara para el caso colombiano.

Suggested Citation

  • Munir A. Jalil & Luis Fernando Melo, 2000. "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:145
    DOI: 10.32468/be.145
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    References listed on IDEAS

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    Cited by:

    1. Luis Fernando Melo & Rubén Albeiro Loaiza Maya, 2012. "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia 705, Banco de la Republica de Colombia.
    2. Arango, Luis Eduardo & Flórez, Luz Adriana, 2008. "Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(297), pages 183-210, enero-mar.
    3. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia.
    4. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 22(47), pages 126-160, December.
    5. Ignacio Lozano, 2009. "Budget Deficit, Money Growth and Inflation: Evidence from the Colombian case," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 65-95, January-J.
    6. Daniel Parra-Amado & Davinson Stev Abril-Salcedo & Luis Fernando Melo-Velandia, 2016. "Impactos de los fenómenos climáticos sobre el precio de los alimentos en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 34(80), pages 146-158, June.
    7. Héctor Mauricio Nunez Amortegui, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," Revista de Economía del Rosario, Universidad del Rosario, December.
    8. Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016. "Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates," Economic Systems, Elsevier, vol. 40(3), pages 387-397.
    9. Norberto Rodríguez & Patricia Siado, 2003. "Un Pronóstico No Paramétrico De La Inflación Colombiana," BORRADORES DE ECONOMIA 003691, BANCO DE LA REPÚBLICA.
    10. Luis Fernando Melo & Martha Misas A., 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
    11. Andrés González & Luis Fernando Melo & Carlos Esteban Posada, 2006. "Inflación y dinero en Colombia: otro modelo P-estrella," Borradores de Economia 418, Banco de la Republica de Colombia.

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    More about this item

    JEL classification:

    • 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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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