IDEAS home Printed from https://ideas.repec.org/p/col/000094/007333.html
   My bibliography  Save this paper

Actualización de la descomposición del BEI cuando se dispone de nueva información

Author

Listed:
  • Luis Fernando Melo Velandia

    ()

  • José Fernando Moreno Gutiérrez

    ()

Abstract

Este documento utiliza la metodología de Melo et al. (2003) para la actualización de la descomposición del Break Even Inflation (BEI) presentado en Melo y Granados (2010) cuando se dispone de nuevas observaciones. El procedimiento de actualización utiliza una transformación del modelo de estado espacio del BEI en el que se supone que los parámetros del modelo siguen una caminata aleatoria.

Suggested Citation

  • Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2010. "Actualización de la descomposición del BEI cuando se dispone de nueva información," BORRADORES DE ECONOMIA 007333, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:007333
    as

    Download full text from publisher

    File URL: http://www.banrep.gov.co/docum/ftp/borra620.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2010. "Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 143-178, September.
    2. Luis Fernando Melo & Fabio Nieto & Mario Ramos V., 2003. "A Leading Index For The Colombian Economic Activity," BORRADORES DE ECONOMIA 001920, BANCO DE LA REPÚBLICA.
    3. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.

    More about this item

    Keywords

    Break even inflation; filtro de Kalman; modelos de estado espacio.;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000094:007333. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.