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¿Está Determinado el Nivel de Precios por las Expectativas de Dinero y Producto en Colombia?

  • Martha Misas

    ()

  • Carlos Esteban Posada

    ()

  • Diego Mauricio Vásquez

    ()

La corriente tradicional de investigación conocida como la “teoría cuantitativa del dinero” ha sostenido que la cantidad de éste es el principal factor determinante del nivel de precios. Pero no siempre ha habido un consenso al respecto. Por ejemplo, hay quienes interpretan la ejecución de la estrategia denominada “inflación objetivo” como síntoma de una supuesta irrelevancia de la cantidad de dinero para la determinación del nivel de precios o de su tasa de aumento, la inflación. El objetivo del presente trabajo es someter a prueba la hipótesis cuantitativa para el caso colombiano pero en el siguiente sentido específico: lo que determina el nivel de precios es el juicio de los agentes económicos sobre la magnitud y la evolución de los componentes permanentes del dinero nominal y del producto real, entendidos éstos como los valores actuales esperados de sus trayectorias futuras, y que los factores juzgados como transitorios carecen de importancia para la determinación de dicho nivel. La verificación de tal hipótesis se realiza mediante un procedimiento de optimización no lineal, que considera la aplicación del filtro de Kalman y la estimación por máxima verosimilitud de los parámetros de una representación estado-espacio. Dicha representación se deriva de un modelo macroeconómico de equilibrio general intertemporal con expectativas racionales. Este trabajo se lleva a cabo con datos anuales para el período 1954-2000.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 191.

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  1. Söderlind, Paul, 1998. "Solution and Estimation of RE Macromodels with Optimal Policy," SSE/EFI Working Paper Series in Economics and Finance 256, Stockholm School of Economics.
  2. Karen Cabos & Nikolaus Siegfried, 2004. "Controlling inflation in Euroland," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 549-558.
  3. Fung, Ben & Mitnick, Scott & Remolona, Eli, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers 99-6, Bank of Canada.
  4. Luis Fernando Melo V & Fabio Nieto & Carlos Esteban Posada & Yanneth Bentancourt, 2001. "Un Índice Coincidente Para La Actividad Económico De Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 19(40), pages 46-88, December.
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  7. Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
  8. Juan Manuel Julio & Javier Gómez, 1999. "Outpout Gap Estimation, Estimation Uncertainty And Its Effect On Policy Rules," BORRADORES DE ECONOMIA 003309, BANCO DE LA REPÚBLICA.
  9. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
  10. Allan H. Meltzer, 2001. "Money and monetary policy: an essay in honor of Darryl Francis," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 23-32.
  11. Luis Eduardo Arango, 1999. "Componentes no observados de la inflación en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, June.
  12. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, July.
  13. Fabio H. Nieto & Luis Fernando Melo, . "About a Coincidente Index for the State of the Economy," Borradores de Economia 194, Banco de la Republica de Colombia.
  14. Martha Misas Arango & Hugo Liveros Camacho & Jose Dario Uribe Escobar, 1994. "Especificación Y Estabilidad De La Demanda Por Dinero En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 13(25), pages 97-120, June.
  15. Paul Soderlind, 2004. "What if the Fed had been an inflation nutter?," Applied Economics, Taylor & Francis Journals, vol. 36(13), pages 1471-1473.
  16. Luis Fernando Melo & Fabio H.Nieto & Carlos Esteban Posada & Yaneth Rocío Betancourt & Juan David Barón, . "Un Indice Coincidente para la Actividad Económica Colombiana," Borradores de Economia 195, Banco de la Republica de Colombia.
  17. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
  18. Fernando Alvarez & Robert E. Lucas & Warren E. Weber, 2001. "Interest rates and inflation," Working Papers 609, Federal Reserve Bank of Minneapolis.
  19. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
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