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Inflación y dinero en Colombia: otro modelo P-estrella

  • Andrés González


  • Luis Fernando Melo


  • Carlos Esteban Posada


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.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002851.

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Length: 16
Date of creation: 01 Nov 2006
Date of revision:
Handle: RePEc:col:000094:002851
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  1. Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
  2. Martha ;Misas Arango & Carlos Esteban Posada Posada, 1995. "P- Estrella En Colombia: Un Punto De Vista Sobre La Inflación," BORRADORES DE ECONOMIA 003312, BANCO DE LA REPÚBLICA.
  3. Martha Misas Arango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar, . "La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural," Borradores de Economia 324, Banco de la Republica de Colombia.
  4. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  6. Lars E.O. Svensson & Stefan Gerlach, 2001. "Money and inflation in the Euro Area: A case for monetary indicators?," BIS Working Papers 98, Bank for International Settlements.
  7. 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, vol. 81(4), pages 841-58, September.
  8. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
  9. José Fernando Escobar R. & Carlos Esteban Posada P., . "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia 303, Banco de la Republica de Colombia.
  10. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.
  11. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  12. 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.
  13. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
  14. Martha Misas & Enrique López & Luis Fernando Melo, . "La Inflación desde una Perspectiva Monetaria: Un Modelo P* para Colombia," Borradores de Economia 133, Banco de la Republica de Colombia.
  15. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation Of Inflation Targeting In Colombia," BORRADORES DE ECONOMIA 003603, BANCO DE LA REPÚBLICA.
  16. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
  17. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  18. repec:cup:etheor:v:10:y:1994:i:1:p:95-115 is not listed on IDEAS
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