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Tramo Corto de la Curva de Rendimientos, Cambio de Régimen Inflacionario y Expectativas de Inflación en Colombia

  • Luis Eduardo Arango

    ()

  • Luz Adriana Flórez

    ()

La consideración de la prima de riesgo de inflación en la ecuación de Fisher y los cambios de régimen inflacionario en Colombia durante los últimos años nos permiten examinar la hipótesis de linealidad para los diferenciales esperados de inflación entre 6 y 12 meses adelante construidos suponiendo cuatro mecanismos de formación de expectativas sobre la inflación total futura: expectativas racionales, autorregresivas, estáticas y adaptativas. El primero de ellos se utiliza también para tres definiciones de inflación básica corrientemente empleadas por el Banco de la República. Se emplean dos conjuntos de información para examinar la hipótesis de la existencia del efecto Fisher: el IRTES y la curva cero cupón. Solamente para la inflación total y dos definiciones de inflación básica se pudo rechazar la hipótesis de linealidad. Siempre que se usa la IRTES los resultados son los que predice la teoría en signo y significancia. El contenido informativo del spread de tasas de interés es sensible al conjunto de información utilizado para construir y al mecanismo de expectativas empleado.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 360.

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Handle: RePEc:bdr:borrec:360
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  1. Sebastian Schich, 1999. "The information content of the German term structure regarding inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 385-395.
  2. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  3. Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
  4. Philippe Jorion & Frederic Mishkin, 1991. "A Multi-Country Comparison of Term Structure Forecasts at Long Horizons," NBER Working Papers 3574, National Bureau of Economic Research, Inc.
  5. Mishkin, Frederic S & Simon, John, 1995. "An Empirical Examination of the Fisher Effect in Australia," The Economic Record, The Economic Society of Australia, vol. 71(214), pages 217-29, September.
  6. Luis Eduardo Arango & Angélica María Arosemena, 2003. "El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," BORRADORES DE ECONOMIA 002558, BANCO DE LA REPÚBLICA.
  7. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
  8. Lawrence H. Summers, 1982. "The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect," NBER Working Papers 0836, National Bureau of Economic Research, Inc.
  9. Mishkin, Frederic S., 1990. "What does the term structure tell us about future inflation?," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
  10. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia.
  11. Robert W. Dimand, 1999. "Irving Fisher and the Fisher Relation: Setting the Record Straight," Canadian Journal of Economics, Canadian Economics Association, vol. 32(3), pages 744-750, May.
  12. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Working Papers 97-10, Bank of Canada.
  13. Camero G., Eduardo & Castellanos, Sara, 2002. "¿Qué información acerca de expectativas de inflación contiene la estructura temporal de tasas de interés en México?," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(275), pages 327-353, julio-sep.
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