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Cambios en la dinamica inflacionaria de la Republica Argentina (2004-2020). Un analisis a traves del filtro de Kalman

Author

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  • Ernesto Gabriel Pizarro Levi

    (Universidad Nacional de Chilecito, Departamento de Ciencias Básicas y Tecnológicas, La Rioja, Argentina.)

Abstract

Objective: the aim of this study is to analyze the changes in the dynamics of inflation in Argentina between the years 2004 and 2020. Methodology: the Kalman filter is employed to estimate the relationship between the variables under study. By tracking the evolution of the estimated coefficients over time, this method identifies which variables explain the behavior of inflationary processes in Argentina. Results: the estimated coefficients exhibit fluctuations over time. Exchange rates and inflationary inertia are the varia-bles with the greatest impact. Limitations: while the Kalman filter addresses the issue of estimating time-varying parameters, it does not strictly determine the causes of inflation but rather changes in inflation dynamics. Originality: consistent with contemporary studies, this research confirms that Argentinian inflation can be explained by several variables. Conclusions: the study provides insights into the influence of different variables on the recurring inflationary proces-ses in Argentina, highlighting the significance of each to explain the phenomenon.

Suggested Citation

  • Ernesto Gabriel Pizarro Levi, 2024. "Cambios en la dinamica inflacionaria de la Republica Argentina (2004-2020). Un analisis a traves del filtro de Kalman," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 21(2), pages 1-27, July-Dece.
    • Handle: RePEc:qua:journl:v:21:y:2024:i:2:p:1-27
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    More about this item

    Keywords

    Kalman filter; inflation; Argentina; inflation dynamics.;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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