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La Inflación Desde Una Perspectiva Monetaria : Un Modelo P* Para Colombia

  • Martha Misas Arango

    ()

  • Enrique López Enciso

    ()

  • Luis Fernando Melo velandia

    ()

El objetivo de este documento es presentar un modelo monetario para el pronóstico de la inflación trimestral en Colombia. El modelo teórico que sirve como base para este ejercicio empírico se conoce en la literatura como P*. Este modelo se plantea, a finales de la década de los ochenta, como una versión formalizada de la percepción, ampliamente difundida, del origen monetario de la inflación en el largo plazo. El modelo sugiere que la desviación del dinero de su senda de largo plazo permite explicar la senda futura de la inflación. El modelo original, tal como fue concebido, supone que la velocidad de circulación del dinero, entendida ésta como la razón entre el producto nominal y el agregado monetario, es estable en el largo plazo. Sin embargo, en una época de innovaciones financieras esta exigencia no se cumple para muchos países, hecho que ha llevado a una profusa literatura que busca ofrecer soluciones plausibles para abordar el modelo y mantener su fundamento teórico esencial. En la segunda sección, que sigue a esta introducción, se presenta el modelo P* teórico, soporte de este trabajo. En la tercera sección se aborda el tema de los supuestos en que se apoya el modelo, en especial el de la estabilidad de la velocidad de circulación del dinero. Se examinan también las alternativas de corrección al modelo P* que se han presentado en la literatura. Con base en los aportes que esta discusión ofrece, en la sección cuarta se propone la aplicación de un modelo P* modificado para la economía colombiana. La estrategia utilizada permite estimar el modelo original para un tipo de agregado monetario mientras que el modelo modificado se estima para los agregados cuya velocidad no es estacionaria. La sección siguiente evalúa el desempeño en pronóstico de estos modelos entre sí mismos y frente a modelos rivales. La última sección concluye

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003028.

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Length: 38
Date of creation: 31 Oct 1999
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Handle: RePEc:col:000094:003028
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  1. Luis Fernando Melo & Martha Misas, 1998. "Análisis del comportamiento de la inflación trimestral en Colombia bajo cambios de régimen: Una evidencia a través del modelo "Switching" de Hamilton," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  2. Lucas, Robert E., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 137-167, January.
  3. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
  4. Bordo, Michael D & Jonung, Lars & Siklos, Pierre L, 1997. "Institutional Change and the Velocity of Money: A Century of Evidence," Economic Inquiry, Western Economic Association International, vol. 35(4), pages 710-24, October.
  5. 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.
  6. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  7. Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, EconWPA.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  9. Frederic S. Mishkin, 1991. "The Information in the Longer Maturity Term Structure about Future Inflation," NBER Working Papers 3126, National Bureau of Economic Research, Inc.
  10. Siklos, Pierre L, 1993. "Income Velocity and Institutional Change: Some New Time Series Evidence, 1870-1986," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 377-92, August.
  11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  12. Lee, Jim, 1999. "Alternative P* Models of Inflation Forecasts," Economic Inquiry, Western Economic Association International, vol. 37(2), pages 312-25, April.
  13. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-92, September.
  14. Goldfeld, Stephen M. & Sichel, Daniel E., 1990. "The demand for money," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 8, pages 299-356 Elsevier.
  15. Lars E.O. Svensson, 2000. "Does the P* Model Provide Any Rationale for Monetary Targeting?," NBER Working Papers 7178, National Bureau of Economic Research, Inc.
  16. Gregory D. Hess & Charles S. Morris, 1995. "Money is what money predicts: the M* model of the price level," Research Working Paper 95-05, Federal Reserve Bank of Kansas City.
  17. Engert, Walter & Hendry, Scott, 1998. "Forecasting Inflation with the M1-VECM: Part Two," Working Papers 98-6, Bank of Canada.
  18. King, Robert G., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 169-172, January.
  19. Enrique López E. & Martha Misas A., 1999. "Un Examen Empirico De La Curva De Phillips En Colombia," BORRADORES DE ECONOMIA 003676, BANCO DE LA REPÚBLICA.
  20. Atta-Mensah, J, 1996. "A Modified P*-Model of Inflation Based on M1," Working Papers 96-15, Bank of Canada.
  21. Martha Misas & Hugo Oliveros, . "Cointegración, exogeneidad y Crítica de Lucas: Funciones de Demanda de Dinero en Colombia: Un ejercicio más," Borradores de Economia 075, Banco de la Republica de Colombia.
  22. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
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