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Expectativas De Inflaci�N En Colombia: Un Ejercicio Econom�Trico

Author

Listed:
  • Martha Misas A.
  • Diego Mauricio V�squez

Abstract

Este art�culo se centra en la estimaci�n hist�rica de las expectativas de inflaci�n en Colombia para el per�odo comprendido entre 1980 y 2001 a partir de la informaci�n contenida en la din�mica conjunta de la tasa de inter�s nominal y de la inflaci�n observada. El logro de este objetivo se alcanza teniendo en cuenta: (i) la consideraci�n de mercados eficientes, (ii) la racionalidad en la conformaci�n de las expectativas de inflaci�n1 y (iii) la influencia de la inflaci�n esperada en la evoluci�n de la tasa de inter�s nominal2. Fama y Gibbons (1982) se�alan que este �ltimo supuesto se fundamenta en el resultado del modelo Mundell-Tobin donde se observa una relaci�n negativa entre la inflaci�n esperada y la tasa de inter�s real ex-ante3. A diferencia de Hamilton (1985), no se considera el supuesto de que las tasas de inter�s reales esperada y observada presenten la misma din�mica en el largo plazo debido a que el procedimiento econom�trico utilizado permite la consideraci�n de variables no observadas.

Suggested Citation

  • Martha Misas A. & Diego Mauricio V�squez, 2002. "Expectativas De Inflaci�N En Colombia: Un Ejercicio Econom�Trico," Borradores de Economia 2693, Banco de la Republica.
    • Handle: RePEc:col:000094:002693
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    Cited by:

    1. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2008. "La tasa de interés natural en Colombia," Investigación Conjunta-Joint Research, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 7, pages 164-201, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    2. Mario Nigrinis Ospina, 2004. "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia 282, Banco de la Republica de Colombia.
    3. Alejandro Gaviria Jaramillo & Santiago T�llez Alzate, 2010. "Expectativas de inflación en Colombia," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-17.

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