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Indicador de Inflación Básica a partir de un Modelo Semi-estructural con inflación de alimentos

Author

Listed:
  • Jesús Bejarano

    (Banco de la República de Colombia)

  • Franz Hamann

    (Banco de la República de Colombia)

  • Diego Rodríguez

    (Banco de la República de Colombia)

Abstract

La dinámica de la inflación en Colombia (medida como la variación en el Índice de Precios al Consumidor, IPC) sugiere que su evolución ha estado determinada por la coexistencia de choques específicos y de corta duración a algunos bienes (en especial, choques a los precios de los alimentos no procesados) junto con choques generalizados y duraderos que afectan un amplio número de productos (recientemente, choques externos: precios del petróleo y tasas de interés internacionales). Una práctica común en los bancos centrales es la de excluir del cálculo del IPC aquellos bienes con mayor variación de sus precios, para obtener una aproximación a la “inflación macro”. Dichas medidas se conocen como inflación subyacente o inflación básica. En este trabajo se introduce un indicador de inflación básica que emplea un modelo semiestructural Neokeynesiano para filtrar y cuantificar el impacto de diversas clases de choques. Más precisamente, concebimos la inflación básica como aquella inflación que se observaría después de restarle a la inflación sin alimentos los efectos estimados por el modelo de los “choques de oferta”, pero manteniendo los efectos de los choques de demanda y de política monetaria. Nuestro enfoque tiene la ventaja adicional de considerar los efectos de la respuesta de política monetaria ante los choques consideramos por el modelo. La medida aquí propuesta podría ampliar la batería de medidas de inflación básica del Banco de la República y contribuir al entendimiento de la dinámica de la inflación en Colombia.

Suggested Citation

  • Jesús Bejarano & Franz Hamann & Diego Rodríguez, 2016. "Indicador de Inflación Básica a partir de un Modelo Semi-estructural con inflación de alimentos," Borradores de Economia 935, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:935
    DOI: 10.32468/be.935
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    References listed on IDEAS

    as
    1. Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
    2. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155.
    3. Galí, Jordi & Gertler, Mark, 1999. "Inflation Dynamics: A Structural Economic Analysis," CEPR Discussion Papers 2246, C.E.P.R. Discussion Papers.
    4. Stefano Siviero & Giovanni Veronese, 2007. "A policy-sensible core-inflation measure for the euro area," Temi di discussione (Economic working papers) 617, Bank of Italy, Economic Research and International Relations Area.
    5. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Hernando Vargas-Herrera, 2016. "Inflation expectations and a model-based core inflation measure in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 123-151, Bank for International Settlements.
    2. Norberto Rodríguez-Niño & Alejandra Ramírez-Ramírez, 2018. "Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia," Borradores de Economia 1040, Banco de la Republica de Colombia.

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    More about this item

    Keywords

    inflación; inflación básica; política monetaria; Colombia;
    All these keywords.

    JEL classification:

    • 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
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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