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Inflación y dinero en Colombia: otro modelo P-estrella

  • Andrés González


  • Luis Fernando Melo


  • Carlos Esteban Posada


Este documento reporta los resultados de la estimaci´on de una versi´on reciente del modelo P-estrella de Gerlach y Svensson (2003) para Colombia (1980:I - 2005:IV) y sus predicciones. El modelo está diseñado para explicar la brecha de inflaci´on (tasa observada menos la meta) con base en dos brechas: la brecha monetaria y la de producto. De acuerdo con sus resultados, la brecha de producto carece de efectos significativos en tanto que la brecha monetaria tiene un efecto significativo positivo sobre la de inflaci´on.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 418.

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Handle: RePEc:bdr:borrec:418
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  1. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
  2. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
  3. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  4. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
  5. Gerlach, Stefan & Svensson, Lars E O, 2002. "Money and Inflation in the Euro-Area: A Case for Monetary Indicators?," CEPR Discussion Papers 3392, C.E.P.R. Discussion Papers.
  6. Martha Misas A>rango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar Restrepo, 2005. "La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural," BORRADORES DE ECONOMIA 003026, BANCO DE LA REPÚBLICA.
  7. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.
  8. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation Of Inflation Targeting In Colombia," BORRADORES DE ECONOMIA 003603, BANCO DE LA REPÚBLICA.
  9. Hallman, Jeffrey J & Porter, Richard D & Small, David H, 1991. "Is the Price Level Tied to the M2 Monetary Aggregate in the Long Run?," American Economic Review, American Economic Association, vol. 81(4), pages 841-58, September.
  10. Martha Misas & Carlos Esteban Posada, . "P-Estrella en Colombia: Un punto de vista sobre la inflación," Borradores de Economia 016, Banco de la Republica de Colombia.
  11. 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.
  12. Martha Misas A. & Enrique López & Luis Fernando Melo, 1999. "La Inflación Desde Una Perspectiva Monetaria: Un Modelo P* Para Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, issue 35, pages 5-53, May.
  13. repec:cup:etheor:v:10:y:1994:i:1:p:95-115 is not listed on IDEAS
  14. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
  15. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
  16. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
  17. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  18. José Fernando Escobar R. & Carlos Esteban Posada P., . "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia 303, Banco de la Republica de Colombia.
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