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¿Están ancladas las expectativas de inflación en Colombia?

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Abstract

En este estudio se determina si las expectativas de inflación en Colombia están ancladas a partir de una metodología que permite simultáneamente estimar el ancla de las expectativas y la fuerza de anclaje. Esta técnica propone expresar las expectativas como un promedio ponderado entre el ancla, no observable, y la inflación observada al momento de generar los pronósticos. La ponderación correspondiente al ancla está dada por una función del horizonte de pronóstico y se puede asociar con la fuerza de anclaje. Los datos utilizados corresponden a un panel de expectativas para diciembre de cada año entre 2002 y 2017 con horizonte de 0 a 24 meses, provenientes de la fuente Consensus Economics. Los resultados indican que el ancla de las expectativas de inflación ha disminuido a través del tiempo, siguiendo la tendencia de la meta anual de inflación fijada por el Banco Central y acercándose a la meta de inflación de largo plazo. Por otro lado, se encuentra que la fuerza de anclaje varía en el tiempo. En particular, en la parte final de muestra, ésta presenta una disminución; sin embargo, para horizontes alrededor de dos años la ponderación del ancla en la formación de expectativas se mantiene cerca a uno.

Suggested Citation

  • Santiago Gamba Santamaría & Eliana Rocío González Molano & Luis Fernando Melo Velandia, 2016. "¿Están ancladas las expectativas de inflación en Colombia?," Borradores de Economia 940, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:940
    DOI: 10.32468/be.940
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    4. Refet S Gürkaynak & Andrew Levin & Eric Swanson, 2010. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from the U.S., UK, and Sweden," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1208-1242, December.
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    6. Eliana González & Munir Jalil & Jose Vicente Romero Chamorro, 2010. "Inflación y expectativas de inflación en Colombia," BORRADORES DE ECONOMIA 007307, BANCO DE LA REPÚBLICA.
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    More about this item

    Keywords

    Anclaje de expectativas; expectativas de inflación; panel de pronósticos;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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