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Inflación y dinero en Colombia: otro modelo P-estrella

Author

Listed:
  • Andrés González
  • Luis Fernando Melo
  • Carlos Esteban Posada

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:bdr:borrec:418
    DOI: 10.32468/be.418
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    References listed on IDEAS

    as
    1. Martha Misas A. & Enrique López E. & Luis Fernando Melo V., 1999. "La inflación desde una perspectiva monetaria: un modelo P* para Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 0(35), pages 5-53, June.
    2. 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.
    3. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation Of Inflation Targeting In Colombia," Borradores de Economia 3603, Banco de la Republica.
    4. Martha Misas Arango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar, 2005. "La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural," Borradores de Economia 324, Banco de la Republica de Colombia.
    5. 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.
    6. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
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    8. 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 841-858, September.
    9. Misas Arango, Martha & Posada Posada, Carlos Esteban, 1995. "P-estrella en Colombia : un punto de vista sobre la inflacion," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 42, pages 107-132, Enero Jun.
    10. Gerlach, Stefan & Svensson, Lars E. O., 2003. "Money and inflation in the euro area: A case for monetary indicators?," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1649-1672, November.
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    14. José Fernando Escobar R. & Carlos Esteban Posada P., 2004. "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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    More about this item

    Keywords

    inflación; demanda de dinero; mínimos cuadrados ordinarios dinámicos (DOLS); predicción.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • 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
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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