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Expectativas de inflación en Colombia

Author

Listed:
  • Alejandro Gaviria Jaramillo

    ()

  • Santiago Téllez Alzate

    ()

Abstract

El objetivo de este trabajo es el de descubrir las expectativas de inflación de los mercados a través de la dinámica conjunta de la tasa de interés, la inanición y el ciclo de la economía. Supondremos que los agentes posn expectativas racionales, lo que va a limitar la capacidad de maniobra del gobierno y de las autoridades monetarias. De esta manera, hallaremos que tan cercanas a la realidad son estas expectativas de acuerdo a su diferencia con las realizaciones ex-post de la inflación. En vista que las expectativas de inflación al igual que los componentes cíclico y tendencial del producto son variables no observadas (los datos solo indican el valor total del producto, no cada una de sus partes), utilizaremos el filtro de Kalman bajo un esquema de representación Estado-Espacio para estimarlas.

Suggested Citation

  • Alejandro Gaviria Jaramillo & Santiago Téllez Alzate, 2010. "Expectativas de inflación en Colombia," VNIVERSITAS ECONÓMICA 008299, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  • Handle: RePEc:col:000416:008299
    as

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    File URL: http://cea.javeriana.edu.co/documents/153049/2786252/Vol.10_12_2010.pdf/4f0e9e0d-b997-4225-a299-ba716df18aa2
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    References listed on IDEAS

    as
    1. S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
    2. Alvaro Montenegro, 2005. "Introducción al filtro Kalman," DOCUMENTOS DE ECONOMÍA 002920, UNIVERSIDAD JAVERIANA - BOGOTÁ.
    3. Martha Misas A. & Diego Mauricio Vásquez, 2002. "Expectativas De Inflación En Colombia: Un Ejercicio Econométrico," BORRADORES DE ECONOMIA 002693, BANCO DE LA REPÚBLICA.
    4. Rodríguez, Gabriel, 2009. "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers 2009-011, Banco Central de Reserva del Perú.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Expectativas de inflación; Representación Estado Espacio; Filtro de Kalman;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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