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Modelos Para La Inflación Básica de Bienes Transables y No Transables en Colombia

  • José Luis Torres

    ()

En este trabajo se estiman modelos de corto plazo para pronosticar la inflación de bienes transables y no transables en Colombia. Estos modelos no existían en el Banco Central antes de 2004 y son de gran utilidad para la toma de decisiones de política monetaria. También se evalúan los beneficios, en términos de análisis y de capacidad pronóstico, de utilizar métodos que capturen la posible no linealidad de la curva de Phillips en los datos colombianos. Aunque existen diferentes razones que justifican una relación no lineal de corto plazo entre producto e inflación, cada una de ellas sugiere una forma diferente para la curva. Por esta razón, se utilizan redes neuronales artificiales (ANN) y los mínimos cuadrados flexibles (FLS), procedimientos que tienen la gran ventaja de que no imponen de antemano ninguna forma funcional que pueda sesgar los resultados. Una vez se hace la estimación de los modelos de inflación de transables y de no transables, se comparan los pronósticos de estos dos modelos no lineales con los de dos estimaciones lineales, se analizan las funciones de impulso respuesta de cada uno de los modelos y además se realiza una prueba de no linealidad. Se encuentra que la curva de Phillips en Colombia podría ser no lineal y por tanto resulta pertinente considerar modelos no lineales para su estimación. Finalmente, con estos modelos se intenta explicar el proceso de desinflación que ha vivido la economía colombiana en los últimos años tanto en la inflación de transables, como en la de no transables.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 365.

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  1. Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers 1492, C.E.P.R. Discussion Papers.
  2. Enrique López E & Martha Misas A, 1998. "Un Examen Empírico De La Curva De Phillips En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  3. Eliasson, Ann-Charlotte, 2001. "Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States," Working Paper Series 124, Sveriges Riksbank (Central Bank of Sweden).
  4. repec:cup:cbooks:9780521770415 is not listed on IDEAS
  5. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11196, Iowa State University, Department of Economics.
  6. Tkacz, Greg & Hu, Sarah, 1999. "Forecasting GDP Growth Using Artificial Neural Networks," Working Papers 99-3, Bank of Canada.
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  8. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  9. Luis Fernando Melo & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
  10. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  11. Laurence Ball & N. Gregory Mankiw & David Romer, 1988. "The New Keynsesian Economics and the Output-Inflation Trade-off," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1), pages 1-82.
  12. Javier Gómez & Juan Manuel Julio, . "An Estimation of the Nonlinear Philips Curve in Colombia," Borradores de Economia 160, Banco de la Republica de Colombia.
  13. Martha Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2003. "La Demanda de Efectivo en Colombia: Una Caja Nagra a la Luz de las Redes Neuronales," BORRADORES DE ECONOMIA 002963, BANCO DE LA REPÚBLICA.
  14. Douglas Laxton & Peter B. Clark & David Rose, 1995. "Asymmetry in the U.S. Output-Inflation Nexus; Issues and Evidence," IMF Working Papers 95/76, International Monetary Fund.
  15. Shapiro, Carl & Stiglitz, Joseph E, 1984. "Equilibrium Unemployment as a Worker Discipline Device," American Economic Review, American Economic Association, vol. 74(3), pages 433-44, June.
  16. Andrew J. Filardo, 1998. "New evidence on the output cost of fighting inflation," Economic Review, Federal Reserve Bank of Kansas City, issue Q III.
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