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Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano

Author

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  • Juan Andrés Espinosa-Torres
  • Luis Fernando Melo-Velandía
  • José Fernando Moreno-Gutiérrez

Abstract

Se estima la descomposición del break-even inflation a partir de un modelo afín de 6 factores de la estructura a términos, nominal y real, de los bonos soberanos de Colombia, dentro de los cuales se incluye un factor asociado a la liquidez. Esta medida se descompone en expectativas de inflación, prima de riesgo inflacionario y prima de liquidez para el periodo comprendido entre junio de 2004 y abril de 2015. Los resultados obtenidos indican que el break-even inflation es una medida apropiada de las expectativas de inflación en el corto plazo (2 años). Adicionalmente, se encuentra que la prima de riesgo inflacionario disminuye en el tiempo, lo que se puede deber al aumento de la confianza en la política monetaria por parte de los agentes. Por último, la prima de liquidez toma valores muy pequeños para la mayoría de los períodos de tiempo y sólo tiene efectos considerables durante ciertos episodios a lo largo de la curva de rendimientos, como el ocurrido durante el primer semestre de 2006.

Suggested Citation

  • Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
    • Handle: RePEc:col:000094:013700
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    References listed on IDEAS

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    Cited by:

    1. Camilo Beyzaga E. & Luis Ceballos S., 2017. "Compensación inflacionaria y premios por riesgo: evidencia para Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(2), pages 150-165, August.
    2. Wilmar Alexander Cabrera-Rodríguez & Daniela Rodríguez-Novoa & Camilo Eduardo Sánchez-Quinto, 2023. "A robust model for the term structure of interest rates: some applications in Colombia," Borradores de Economia 1255, Banco de la Republica de Colombia.

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    More about this item

    Keywords

    Estructura a términos de las tasas de interés; modelo afín; break-even inflation; expectativas de inflación; prima de riesgo inflacionario; prima de liquidez.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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