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La inflación subyacente en Uruguay: un indicador basado en el análisis factorial dinámico generalizado

Author

Listed:
  • Patricia Carballo

    (Banco Central del Uruguay)

Abstract

En este trabajo se presenta un indicador de inflación subyacente para la economía uruguaya, que resulta de extraer el componente de largo plazo de la tasa de variación del IPC que es común a un grupo amplio de variables de precios, producto, demanda agregada, indicadores del mercado laboral, y variables monetarias y financieras. La obtención de este indicador, con base en la propuesta de Cristadoro et al (2003), consiste en aplicar el Modelo Factorial Dinámico Generalizado (MFDG) de Forni et al (2000, 2002). El indicador presentado posee dos características que lo hacen apropiado para el análisis de la tendencia inflacionaria. En primer lugar, permite resumir, en un único indicador, información sobre las presiones inflacionarias, implícita en el comportamiento de un gran número de variables. En segundo lugar, filtra simultáneamente los dos tipos de distorsiones que afectan al IPC: los movimientos idiosincrásicos y la volatilidad de corto plazo.

Suggested Citation

  • Patricia Carballo, 2008. "La inflación subyacente en Uruguay: un indicador basado en el análisis factorial dinámico generalizado," Documentos de trabajo 2008003, Banco Central del Uruguay.
  • Handle: RePEc:bku:doctra:2008003
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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/3.2008.pdf
    File Function: First version, 2008
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    Citations

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    Cited by:

    1. Diego Gianelli & Leonardo Vicente & Jorge Basal & José Mourelle, 2010. "Un modelo macroeconométrico de estimación trimestral para la economía uruguaya," Documentos de trabajo 2010011, Banco Central del Uruguay, revised Jan 2011.

    More about this item

    Keywords

    Inflación Subyacente; Modelo Factorial Dinámico Generalizado; Política Monetaria; Uruguay;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • O54 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean

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