Mostrar el registro sencillo del ítem

dc.contributor.advisorTorres Guevara, Luz Elba
dc.contributor.authorHerrera Santana, Juan Fernando
dc.contributor.authorHernández Ávila, Daniel Felipe
dc.date.accessioned2020-03-10T15:02:32Z
dc.date.available2020-03-10T15:02:32Z
dc.date.issued2020-02-06
dc.identifier.urihttp://hdl.handle.net/10818/39797
dc.description28 páginases_CO
dc.description.abstractEn este documento se lleva a cabo la estimación de las expectativas de inflación mensuales en Colombia, para el período comprendido entre 2013 y 2019, a partir de una representación Estado-Espacio derivada de un proceso de vectores autorregresivos de la tasa de interés real ex ante y la inflación esperada. Para ello, se hace uso del Filtro de Kalman dentro de un optimizador no lineal, lo cual permite obtener los parámetros del modelo que describen la evolución de la tasa de interés nominal, la inflación y las expectativas de inflación. Se encontró evidencia que sugiere un comportamiento adaptativo de las expectativas junto con la subestimación de estas por parte de los agentes.es_CO
dc.language.isospaes_CO
dc.publisherUniversidad de La Sabanaes_CO
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.sourceUniversidad de La Sabana
dc.sourceIntellectum Repositorio Universidad de La Sabana
dc.subjectFiltración Kalmanes_CO
dc.subjectInflación -- Colombiaes_CO
dc.subjectTasas de interéses_CO
dc.titleExpectativas de inflación en Colombia 2003-2019: un enfoque a través del Filtro de Kalmanes_CO
dc.typebachelorThesises_CO
dc.publisher.programEconomía y Finanzas Internacionales
dc.publisher.departmentEscuela Internacional de Ciencias Económicas y Administrativas
dc.identifier.local276368
dc.identifier.localTE10589
dc.rights.accessRightsopenAccess
dc.creator.degreeEconomista con Énfasis en Finanzas Internacionales
dcterms.referencesFama, Eugene F., and Gibbons, Michael R. "Inflation, Real Returns and Capital Investment." J. Monetary Econ. 9 (May 1982): 297-323.eng
dcterms.referencesDwyer, Gerald P., Jr. "Are Expectations of Inflation Rational? Or Is Variation of the Expected Real Interest Rate Unpredictable?" J. Monetary Econ. 8 (July 1981): 59-84.eng
dcterms.referencesGessler, Geary. "An Efficient Markets Model of the Expected Real Return on Treasury Bills." Mimeographed. Washington: Fed. Trade Comm., March 1981.eng
dcterms.referencesCuthbertson, K., S. Hall and M. Taylor (1992); Applied Econometric Techniques, Harvester Wheatsheaf.eng
dcterms.referencesHamilton, James D. (1985), "Uncovering Financial Market Expectations of Inflation," Journal of Political Economy, 93, 1224-1241.eng
dcterms.referencesBurmeister, Edwin, and Wall, Kent D. (1982), "Kalman Filtering Estimation of Unobserved Rational Expectations with an Application to the German Hyperinflation," Journal of Econometrics, 20, 255-284.eng
dcterms.referencesHUERTAS, C., E. GONZALEZ, Y C. RUIZ (2015): “La formación de expectativas de inflación en Colombia,” Borradores de Economía 880, Banco de la República de Colombia.spa
dcterms.referencesSAS/IML Software, Versión 8, Changes and Enhancements (1996).eng
dcterms.referencesMishkin, Frederic S. (1981), "The Real Interest Rate: An Empirical Investigation," CarnegieRochester Conference Series on Public Policx, 15, 151-200.eng
dcterms.referencesCHRISTENSEN, J. H. E., J. A. LOPEZ, Y G. D. RUDEBUSCH (2010): “Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields,” Journal of Money, Credit and Banking, 42, 143–178eng
dcterms.referencesGARCÍA, J. A., Y T. WERNER (2010): “Inflation risks and inflation risk premia,” Working Paper Series 1162, European Central Bank.eng
dcterms.referencesADRIAN, T., Y H. WU (2010): “The Term Structure of Inflation Expectations,” Staff Reports 362, Federal Reserve Bank of New Yorkeng
dcterms.referencesCHEN, R.-R., B. LIU, Y X. CHENG (2010): “Pricing the term structure of inflation risk premia: Theory and evidence from TIPS,” Journal of Empirical Finance, 17(04), 702–721.eng
dcterms.referencesHÖRDAHL, P., Y O. TRISTANI (2010): “Inflation risk premia in the US and the euro area,” BIS Working Papers 325, Bank for International Settlements.eng
dcterms.referencesHarvey, A. (1994); Forecasting, structural time series models and the Kalman filter, Cambridge University Press.eng
dcterms.referencesDoornik, J. A. and H. Hansen (1994); “An Omnibus Test for Univariate and Multivariate Normality”, Nuffield College, Oxfordeng
dcterms.referencesFisher, I. (1930); The theory of interest, New York.eng
dcterms.referencesGRISHCHENKO, O. V., Y J.-Z. HUANG (2013): “The Inflation Risk Premium: Evidence from the TIPS Market,” The Journal of Fixed Income, 22(04), 5–30.eng
dcterms.referencesIMAKUBO, K., Y J. NAKAJIMA (2015): “Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model,” Bank of Japan Working Paper Series 15- E-1, Bank of Japan.eng
dcterms.referencesPhillips, A. W. (1958). “The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861-1957”. Economica 25: 283-299.eng
dcterms.referencesABRAHAMS, M., T. ADRIAN, R. CRUMP, Y E. MOENCH (2015): “Decomposing Real and Nominal Yield Curves,” Federal Reserve Bank of New York Staff Reports, 570.eng
dcterms.referencesEJSING, J., J. A. GARCÍA, Y T. WERNER (2007): “The term structure of euro area breakeven inflation rates: the impact of seasonality,” Working Paper Series 0830, European Central Bank.eng
dcterms.referencesSCHEINKMAN, J. A., Y R. LITTERMAN (1991): “Common factors affecting bond returns,” Journal of Fixed Income, 1(1), 54–61.eng
dcterms.referencesNELSON, C., Y A. SIEGEL (1987): “Parsimonious Modeling of Yield Curve,” The Journal of Business, 60(04), 473–489.eng
dcterms.referencesFrankel, Jeffrey A. "A Technique for Extracting a Measure of Expected Inflation from the Interest Rate Term Structure." Rev. Econ. and Statis. 64 (February 1982): 135-42eng


Ficheros en el ítem

Thumbnail

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem

Attribution-NonCommercial-NoDerivatives 4.0 InternationalExcepto si se señala otra cosa, la licencia del ítem se describe como Attribution-NonCommercial-NoDerivatives 4.0 International