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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 estimación de una versión 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 inflación (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 inflación.

Suggested Citation

  • Andrés González & Luis Fernando Melo & Carlos Esteban Posada, 2006. "Inflación y dinero en Colombia: otro modelo P-estrella," BORRADORES DE ECONOMIA 002851, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:002851
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    References listed on IDEAS

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    1. Ng, S. & Pinkse, J., 1995. "Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent," Cahiers de recherche 9551, Universite de Montreal, Departement de sciences economiques.
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    3. Martha Misas A. & Enrique López E. & Luis Fernando Melo V., 1999. "La inflación desde una perspectiva monetaria: un modelo P* para Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 0(35), pages 5-53, Junio.
    4. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    5. 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, pages 841-858.
    6. Gerlach, Stefan & Svensson, Lars E. O., 2003. "Money and inflation in the euro area: A case for monetary indicators?," Journal of Monetary Economics, Elsevier, pages 1649-1672.
    7. 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, pages 107-132.
    8. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, pages 47-78.
    9. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
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    13. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 22(47), pages 126-160, December.
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    15. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation of Inflation Targeting in Colombia," Borradores de Economia 202, Banco de la Republica de Colombia.
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    Citations

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    Cited by:

    1. Harold Stevens Ávila Aguirre, 2013. "Comportamiento de la demanda de dinero en Colombia durante el periodo 2000: I-2010: IV," REVISTA APUNTES DEL CENES, UNIVERSIDAD PEDAGOGICA Y TECNOLOGICA DE COLOMBIA, June.
    2. Eduardo Wiesner, 2008. "The Political Economy of Macroeconomic Policy Reform in Latin America," Books, Edward Elgar Publishing, number 12913, September.

    More about this item

    Keywords

    Inflación; demanda de dinero; mínimos cuadrados ordinarios dinámicos DOLS; predicción;

    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

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