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Expectativas de Inflación en Colombia: Un Ejercicio Econométrico

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  • Martha Misas
  • Diego Mauricio Vásquez

Abstract

Este artículo se centra en la estimación histórica de las expectativas de inflación en Colombia para el período comprendido entre 1980 y 2001 a partir de la información contenida en la dinámica conjunta de la tasa de interés nominal y de la inflación observada. El logro de este objetivo se alcanza teniendo en cuenta: (i) la consideración de mercados eficientes, (ii) la racionalidad en la conformación de las expectativas de inflación1 y (iii) la influencia de la inflación esperada en la evolución de la tasa de interés nominal2. Fama y Gibbons (1982) señalan que este último supuesto se fundamenta en el resultado del modelo Mundell-Tobin donde se observa una relación negativa entre la inflación esperada y la tasa de interés real ex-ante3. A diferencia de Hamilton (1985), no se considera el supuesto de que las tasas de interés reales esperada y observada presenten la misma dinámica en el largo plazo debido a que el procedimiento econométrico utilizado permite la consideración de variables no observadas.
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Suggested Citation

  • Martha Misas & Diego Mauricio Vásquez, 2002. "Expectativas de Inflación en Colombia: Un Ejercicio Econométrico," Borradores de Economia 212, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:212
    DOI: 10.32468/be.212
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    Cited by:

    1. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2007. "La Tasa de Interés Natural en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 25(54), pages 44-89, June.
    2. Alejandro Gaviria Jaramillo & Santiago Téllez Alzate, 2010. "Expectativas de inflación en Colombia," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-17, November.
    3. Mario Nigrinis Ospina, 2004. "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia 282, Banco de la Republica de Colombia.

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