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Una aproximación al análisis de causalidad entre la inflación y el desempleo en Colombia durante el nuevo milenio
[An empirical approximation to the causality analysis between inflation and unemployment in Colombia during the new millennium]

Author

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  • John Michael, Riveros Gavilanes

Abstract

The present article establishes an empirical approximation of the causality analysis between inflation and unemployment over the period of 2001 and 2019 for the Colombian economy from the theoretical contributions of Phillips (1957), Phelps (1967), Friedman (1968) and Ball & Mankiw (2002). The methodology based on time series through monthly data, incorporates cointegration analysis and the estimation of VAR models to proceed with the Granger causality tests. The estimations include the natural unemployment rate assumed by the NAIRU estimated with the Hodrick-Prescott (1997) filter. The results indicate the inexistence of long-run relationships between the variables, a decreasing tendency of the natural unemployment rate and the Granger causality reflects only one direction from the inflation to the unemployment. The conclusions establish a significative force from the adaptive expectations in Colombia probably linked with speculation, which through the changes in the price level rebound in the economy and in the variation of the unemployment rate.

Suggested Citation

  • John Michael, Riveros Gavilanes, 2020. "Una aproximación al análisis de causalidad entre la inflación y el desempleo en Colombia durante el nuevo milenio [An empirical approximation to the causality analysis between inflation and unemplo," MPRA Paper 103231, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:103231
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    File URL: https://mpra.ub.uni-muenchen.de/103231/1/MPRA_paper_103231.pdf
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    References listed on IDEAS

    as
    1. Helmut Lütkepohl, 2005. "New Introduction to Multiple Time Series Analysis," Springer Books, Springer, number 978-3-540-27752-1, December.
    2. Laurence Ball & N. Gregory Mankiw, 2002. "The NAIRU in Theory and Practice," Journal of Economic Perspectives, American Economic Association, vol. 16(4), pages 115-136, Fall.
    3. A. W. Phillips, 1958. "The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957," Economica, London School of Economics and Political Science, vol. 25(100), pages 283-299, November.
    4. Gómez García, F. & Rebollo Sanz, Y. & Usabiaga Ibáñez, C., 2002. "Nuevas estimaciones de la NAIRU de la economía española: métodos directos," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 20, pages 509-530, Diciembre.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    6. Franco Modigliani & Lucas Papademos, 1975. "Targets for Monetary Policy in the Coming Year," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 6(1), pages 141-166.
    7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    8. Fumitaka Furuoka, 2007. "Does the “Phillips Curve” Really Exist? New Empirical Evidence from Malaysia," Economics Bulletin, AccessEcon, vol. 5(16), pages 1-14.
    9. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-472, June.
    10. Punnoose Jacob & Martin Wong, 2018. "Estimating the NAIRU and the Natural Rate of Unemployment for New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2018/04, Reserve Bank of New Zealand.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Inflation; Unemployment; Expectations; Granger Causality; NAIRU;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • J69 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Other

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