Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017.
Este artículo examina la relación entre inflación e incertidumbre inflacionaria para la economía de México durante el periodo que comprende enero de 1969 a febrero de 2017, utilizando modelos SARMA-GARCH y sus extensiones GJR-GARCH-M y E-GARCH-M. Entre los hallazgos es posible evidenciar un efecto c...
- Autores:
-
Rosas-Rojas, Eduardo
López-González, Teresa
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2018
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- spa
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/29377
- Acceso en línea:
- https://hdl.handle.net/10983/29377
https://doi.org/10.14718/revfinanzpolitecon.2018.10.2.6
- Palabra clave:
- Asymmetric effects
Central bank
Inflation
Inflation uncertainty
Banco central
Efectos asimétricos
Incertidumbre inflacionaria
Inflación
Banco central
Efeitos assimétricos
Incerteza inflacionária
Inflação
- Rights
- openAccess
- License
- Eduardo Rosas Rojas, Teresa López González - 2018
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| dc.title.spa.fl_str_mv |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| dc.title.translated.eng.fl_str_mv |
Inflation and inflation uncertainty : the position of the Bank of Mexico, 1969-2017. |
| title |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| spellingShingle |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. Asymmetric effects Central bank Inflation Inflation uncertainty Banco central Efectos asimétricos Incertidumbre inflacionaria Inflación Banco central Efeitos assimétricos Incerteza inflacionária Inflação |
| title_short |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| title_full |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| title_fullStr |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| title_full_unstemmed |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| title_sort |
Inflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017. |
| dc.creator.fl_str_mv |
Rosas-Rojas, Eduardo López-González, Teresa |
| dc.contributor.author.spa.fl_str_mv |
Rosas-Rojas, Eduardo López-González, Teresa |
| dc.subject.eng.fl_str_mv |
Asymmetric effects Central bank Inflation Inflation uncertainty |
| topic |
Asymmetric effects Central bank Inflation Inflation uncertainty Banco central Efectos asimétricos Incertidumbre inflacionaria Inflación Banco central Efeitos assimétricos Incerteza inflacionária Inflação |
| dc.subject.spa.fl_str_mv |
Banco central Efectos asimétricos Incertidumbre inflacionaria Inflación Banco central Efeitos assimétricos Incerteza inflacionária Inflação |
| description |
Este artículo examina la relación entre inflación e incertidumbre inflacionaria para la economía de México durante el periodo que comprende enero de 1969 a febrero de 2017, utilizando modelos SARMA-GARCH y sus extensiones GJR-GARCH-M y E-GARCH-M. Entre los hallazgos es posible evidenciar un efecto causal negativo de la incertidumbre inflacionaria sobre la inflación (cumplimiento de la hipótesis de Holland), lo cual indica que el Banco de México exhibe un comportamiento estabilizador ante la inflación. También se corrobora el cumplimiento de la hipótesis de Friedman-Ball, que establece que altos niveles de inflación incrementan la incertidumbre inflacionaria. |
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2018 |
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2018-07-01 00:00:00 2023-01-23T16:14:54Z |
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2018-07-01 00:00:00 2023-01-23T16:14:54Z |
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2018-07-01 |
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Artículo de revista |
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2011-7663 |
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Aguilar-Argaez A., Cuadra, G., Ramírez, C. y Sámano, D. (2014). Anclaje de las expectativas de inflación ante choques de oferta adversos. Ciudad de México: Banco de México. Alesina, A. y Summers, L. (1993). Central bank independence and macroeconomic performance. Journal of Money, Credit, and Banking, 25, 151-162. Baillie, R., Chung, C. y Tieslau, M. (1996). Analyzing inflation by the fractionally integrated ARFIMAGARCH model. Journal of Applied Econometrics, 11 (1), 23-40. Ball, L. (1992). Why does high inflation raise inflation uncertainty? Journal of Monetary Economics, 29 (3), 371-388. Benati, L. y P Surico (2008). Evolving US monetary policy and the decline of inflation predictability. Journal of the European Economic Association, 6, 634-646. Berndt, E., Hall, B., Hall, R. y Hausman, J. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3, 653-665. Bojanic, A. (2013). Inflación e incertidumbre inflacionaria en Bolivia. El Trimestre Económico, 80(2), 401-426. Bollerslev, T (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-328. Brooks, C. (2008). Introductory econometrics for finance. Cambridge: Cambridge University Press. Broto, C. (2008). Inflation targeting in Latin America: empirical analysis using GARCH models. Madrid: Banco de España. Caballero, C. y Caballero, R. (2015). Efectos asimétricos de schocks de inflación e incertidumbre inflacionaria en Bolivia 1990-2013. Economía Informa, 394, 68-99. Capistran, C. and Ramos-Francia, M. (2006). Inflation dynamics in Latin America. Ciudad de México: Banco de México. Caporale, G., Onorante, L. y Paesani, IP (2010). Inflation and inflation uncertainty in the Euro Area. Francfort: Banco Central Europeo. Cogley, T, Primiceri G. y Sargent, T (2009). Inflation-gap persistence in the US. Nueva York: Universidad de Nueva York. Conrad, C. y Karanasos, M. (2005). On the inflation-uncertainty hypothesis in the USA, Japan and the UK: A dual long-memory approach. Japan and the World Economy, 17, 327-343. Cukierman, A. (1992). Central Bank strategy, credibility, and independence. Cambridge: MIT Press. Cukierman, A. y Meltzer, A. (1986). A theory of ambiguity, credibility and inflation under discretion and asymmetric information. Econometrica, 54(5), 1099-1128. Cukierman, A., Webb, S. y Neyapti, B. (1992). Measuring th of Central Banks and its effect on policy outcomes. World Bank Economic Review, 6(3), 353-398. Daal, E., Naka, A. y Sánchez, B. (2005). Re-examining inflation and inflation uncertainty in developed and emerging countries. Economics Letters, 89(2), 180-186. Dincer, N. y Eichengreen, B. (2010). Central bank transparency: Causes, consequences and updates. Theoretical Inquiries in Law, ii (1), 75-123. Enders, W. (2015). Applied Econometric Time Series. Nueva York: John Wiley. Engle, R. and Ng, V. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5), 1749-1778. Fang W., Miller, S. y Yeh, C. (2010). Does a threshold inflation rate exist? Quantile inferences for inflation and its variability. Empirical economics, 39(3), 619-641. Fountas, S. (2001). The relationship between inflation and inflation uncertainty in the UK: 1885-1998. Economics Letters, 74, 77-83. Fountas, S. (2010). Inflation, inflation uncertainty and growth: Are they related? Economic Modelling, 27(5), 896-899. Fountas, S., Ioannidis, A. y Karanasos, M. (2004). Inflation, inflation uncertainty and a Common European monetary policy. The Manchester School, 72(2), 221-242. Fountas, S., Karanasos, M. y Kim, J. (2006). Inflation uncertainty, output growth uncertainty, and macro-economic performance. The Oxford Bulletin of Economics and Statistics, 68(3), 319-343. Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85(3), 451-472. Glosten, L., Jagannathan, R. y Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801. Golob, J. (1994). Does inflation uncertainty increases whit the inflation? Federal Reserve Bank of Kansas City Economic Review, 3, 27 38. Grier, R. y Grier, K. (2006). On the real effects of inflation and inflation uncertainty in México. Journal of Development Economics, 80(2), 478-500. Grier, K. B. y Perry, M., (1998). On inflation and inflation uncertainty in the G-7 countries. Journal of International Money and Finance, 17(4), 671-689. Grier, K. y Perry, M. (2000). The effects of real and nominal uncertainty on inflation and output growth: some GARCH-M evidence. Journal of Applied Econometrics, 15(1), 45-58. Grimme, C., Henzel, S. y Wieland, E. (2012). Inflation uncertainty revisited: Do different measures disagree? Múnich: Universidad de Múnich. Holland, S. (1993a). Uncertain effects of money and the link between the inflation rate and inflation uncertainty. Economic Inquiry, 31, 39-51. Holland, S. (1993b). Comment on 'inflation regimes and the sources of inflation uncertainty'. Journal of Money, Credit, and Banking, 25, 514-520. Holland, S. (1995). Inflation and uncertainty: Tests of temporal ordering. Journal of Money, Credit and Banking, 27, 827-837 Hyndman, R. y Khandakar, Y. (2008). Automatic time series forecasting: The forecast package for r. Journal of Statistical Software, 27(3), 1-22. Kontonikas, A. (2004). Inflation and inflation uncertainty in the United Kingdom: Evidence from GARCH modeling. Economic Modelling, 21 (3), 387-618. McLeod, A. y Li, W. (1983). Diagnostic checking ARMA Time Series Models using Squared Residual Autocorrelations. Journal of Time Series Analysis, 4(4), 269-273. Mántey, G. (2010). El "miedo a flotar" y la intervención esterilizada en el mercado de cambios como instrumento de la política monetaria en México. En G. Mántey y T López (Coords.), Política monetaria con elevado traspaso del tipo de cambio. La experiencia mexicana con metas de inflación (pp. 165-196). Ciudad de México: Universidad Nacional Autónoma de México. Nelson, D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-70. Perrotini, H. y Rodríguez, D. (2012). Inflación, incertidumbre inflacionaria y crecimiento económico en México: 1929-2009. Revista Mexicana de Economía y Finanzas, 7(1), 1-26. Polillo, S. y M., F. Guillen (2005). Globalization pressures: The global spread of central bank Independence. American Journal of Sociology, 110(6), 1764-1802. Pourgerami, A. y Maskus, K. (1987). The effects of inflation on the predictability of price changes in Latin America: Some estimates and policy implications. World Development, 15(2), 287-290. Press, W., Teukolsy, S., Vetterling, W. y Flannery, B. (1992). Numerical Recipes in Fortran. Cambridge: Cambridge University Press. Ramos-Francia, M. y Torres, A. (2005). Reducción de la inflación a través del esquema de objetivos de inflación. La experiencia mexicana. Ciudad de México: Banco de México. Rocabado, P (2009). Inflación e incertidumbre inflacionaria: un análisis para la economía boliviana 1937-2009 (tesis de grado). La Paz: Universidad Mayor de San Andrés. Sidaoui, J. y Ramos-Francia, M. (2008). The Monetary Transmission Mechanism in Mexico: Recent Developments, BIS Papers. Recuperado de https://www.bis.org/publ/bppdf/bispap35q.pdf Stiglitz J. (1998). Central banking in a democratic society. The Economist, 146(2), 196-226. Thornton, J. (2007). The relationship between inflation and inflation uncertainty in emerging market economies. Southern Economic Journal, 73, 858-870. Thornton, J. (2008) Inflation and inflation uncertainty in Argentina, 1810-2005. Economics Letters, 98(3), 247-252 Ungar, M. y B. Zilberfarb (1993). Inflation and its unpredictability - Theory and empirical evidence. Journal of Money, Credit, and Banking, 25(4), 709-720. Zako'ian, J.M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18, 931-944. Zeileis, A., Friedrich, L., Kurt, H. y Christian, K. (2002). Strucchange: An R package for testing for structural change in linear regression models. Journal of Statistical Software, Foundation for Open Access Statistics, 7 (2). |
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Rosas-Rojas, Eduardoae14c42c-9cf6-4f91-8a9b-199e84318b28López-González, Teresabf5611c6-3c8d-498b-ba51-98be886377f42018-07-01 00:00:002023-01-23T16:14:54Z2018-07-01 00:00:002023-01-23T16:14:54Z2018-07-01Este artículo examina la relación entre inflación e incertidumbre inflacionaria para la economía de México durante el periodo que comprende enero de 1969 a febrero de 2017, utilizando modelos SARMA-GARCH y sus extensiones GJR-GARCH-M y E-GARCH-M. Entre los hallazgos es posible evidenciar un efecto causal negativo de la incertidumbre inflacionaria sobre la inflación (cumplimiento de la hipótesis de Holland), lo cual indica que el Banco de México exhibe un comportamiento estabilizador ante la inflación. También se corrobora el cumplimiento de la hipótesis de Friedman-Ball, que establece que altos niveles de inflación incrementan la incertidumbre inflacionaria.This research paper examines the relationship between inflation and inflation uncertainty for the Mexican economy during the period from January 1969 to February 2017. Using SARMA-GARCH models and their extensions (GJR-GARCH-M and E-GARCH-M), the study evidenced a negative causal effect of financial uncertainty on inflation (compliance with Holland?s hypothesis), which indicates that the Bank of Mexico exhibits a stabilizing behavior in relation to inflation. It also confirms the fulfillment of the Friedman-Ball hypothesis, which states that high levels of inflation increase inflation uncertainty.application/pdftext/htmlapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.wordprocessingml.documenttext/xml10.14718/revfinanzpolitecon.2018.10.2.62011-76632248-6046https://hdl.handle.net/10983/29377https://doi.org/10.14718/revfinanzpolitecon.2018.10.2.6spaUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/1730/2194https://revfinypolecon.ucatolica.edu.co/article/download/1730/2369https://revfinypolecon.ucatolica.edu.co/article/download/1730/2827https://revfinypolecon.ucatolica.edu.co/article/download/1730/2828https://revfinypolecon.ucatolica.edu.co/article/download/1730/3381Núm. 2 , Año 2018372234910Revista Finanzas y Política EconómicaAguilar-Argaez A., Cuadra, G., Ramírez, C. y Sámano, D. (2014). Anclaje de las expectativas de inflación ante choques de oferta adversos. Ciudad de México: Banco de México.Alesina, A. y Summers, L. (1993). Central bank independence and macroeconomic performance. Journal of Money, Credit, and Banking, 25, 151-162.Baillie, R., Chung, C. y Tieslau, M. (1996). Analyzing inflation by the fractionally integrated ARFIMAGARCH model. Journal of Applied Econometrics, 11 (1), 23-40.Ball, L. (1992). Why does high inflation raise inflation uncertainty? Journal of Monetary Economics, 29 (3), 371-388.Benati, L. y P Surico (2008). Evolving US monetary policy and the decline of inflation predictability. Journal of the European Economic Association, 6, 634-646.Berndt, E., Hall, B., Hall, R. y Hausman, J. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3, 653-665.Bojanic, A. (2013). Inflación e incertidumbre inflacionaria en Bolivia. El Trimestre Económico, 80(2), 401-426.Bollerslev, T (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-328.Brooks, C. (2008). Introductory econometrics for finance. Cambridge: Cambridge University Press.Broto, C. (2008). Inflation targeting in Latin America: empirical analysis using GARCH models. Madrid: Banco de España.Caballero, C. y Caballero, R. (2015). Efectos asimétricos de schocks de inflación e incertidumbre inflacionaria en Bolivia 1990-2013. Economía Informa, 394, 68-99.Capistran, C. and Ramos-Francia, M. (2006). Inflation dynamics in Latin America. Ciudad de México: Banco de México.Caporale, G., Onorante, L. y Paesani, IP (2010). Inflation and inflation uncertainty in the Euro Area. Francfort: Banco Central Europeo.Cogley, T, Primiceri G. y Sargent, T (2009). Inflation-gap persistence in the US. Nueva York: Universidad de Nueva York.Conrad, C. y Karanasos, M. (2005). On the inflation-uncertainty hypothesis in the USA, Japan and the UK: A dual long-memory approach. Japan and the World Economy, 17, 327-343.Cukierman, A. (1992). Central Bank strategy, credibility, and independence. Cambridge: MIT Press.Cukierman, A. y Meltzer, A. (1986). A theory of ambiguity, credibility and inflation under discretion and asymmetric information. Econometrica, 54(5), 1099-1128.Cukierman, A., Webb, S. y Neyapti, B. (1992). Measuring th of Central Banks and its effect on policy outcomes. World Bank Economic Review, 6(3), 353-398.Daal, E., Naka, A. y Sánchez, B. (2005). Re-examining inflation and inflation uncertainty in developed and emerging countries. Economics Letters, 89(2), 180-186.Dincer, N. y Eichengreen, B. (2010). Central bank transparency: Causes, consequences and updates. Theoretical Inquiries in Law, ii (1), 75-123.Enders, W. (2015). Applied Econometric Time Series. Nueva York: John Wiley.Engle, R. and Ng, V. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5), 1749-1778.Fang W., Miller, S. y Yeh, C. (2010). Does a threshold inflation rate exist? Quantile inferences for inflation and its variability. Empirical economics, 39(3), 619-641.Fountas, S. (2001). The relationship between inflation and inflation uncertainty in the UK: 1885-1998. Economics Letters, 74, 77-83.Fountas, S. (2010). Inflation, inflation uncertainty and growth: Are they related? Economic Modelling, 27(5), 896-899.Fountas, S., Ioannidis, A. y Karanasos, M. (2004). Inflation, inflation uncertainty and a Common European monetary policy. The Manchester School, 72(2), 221-242.Fountas, S., Karanasos, M. y Kim, J. (2006). Inflation uncertainty, output growth uncertainty, and macro-economic performance. The Oxford Bulletin of Economics and Statistics, 68(3), 319-343.Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85(3), 451-472.Glosten, L., Jagannathan, R. y Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.Golob, J. (1994). Does inflation uncertainty increases whit the inflation? Federal Reserve Bank of Kansas City Economic Review, 3, 27 38.Grier, R. y Grier, K. (2006). On the real effects of inflation and inflation uncertainty in México. Journal of Development Economics, 80(2), 478-500.Grier, K. B. y Perry, M., (1998). On inflation and inflation uncertainty in the G-7 countries. Journal of International Money and Finance, 17(4), 671-689.Grier, K. y Perry, M. (2000). The effects of real and nominal uncertainty on inflation and output growth: some GARCH-M evidence. Journal of Applied Econometrics, 15(1), 45-58.Grimme, C., Henzel, S. y Wieland, E. (2012). Inflation uncertainty revisited: Do different measures disagree? Múnich: Universidad de Múnich.Holland, S. (1993a). Uncertain effects of money and the link between the inflation rate and inflation uncertainty. Economic Inquiry, 31, 39-51.Holland, S. (1993b). Comment on 'inflation regimes and the sources of inflation uncertainty'. Journal of Money, Credit, and Banking, 25, 514-520.Holland, S. (1995). Inflation and uncertainty: Tests of temporal ordering. Journal of Money, Credit and Banking, 27, 827-837Hyndman, R. y Khandakar, Y. (2008). Automatic time series forecasting: The forecast package for r. Journal of Statistical Software, 27(3), 1-22.Kontonikas, A. (2004). Inflation and inflation uncertainty in the United Kingdom: Evidence from GARCH modeling. Economic Modelling, 21 (3), 387-618.McLeod, A. y Li, W. (1983). Diagnostic checking ARMA Time Series Models using Squared Residual Autocorrelations. Journal of Time Series Analysis, 4(4), 269-273.Mántey, G. (2010). El "miedo a flotar" y la intervención esterilizada en el mercado de cambios como instrumento de la política monetaria en México. En G. Mántey y T López (Coords.), Política monetaria con elevado traspaso del tipo de cambio. La experiencia mexicana con metas de inflación (pp. 165-196). Ciudad de México: Universidad Nacional Autónoma de México.Nelson, D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-70.Perrotini, H. y Rodríguez, D. (2012). Inflación, incertidumbre inflacionaria y crecimiento económico en México: 1929-2009. Revista Mexicana de Economía y Finanzas, 7(1), 1-26.Polillo, S. y M., F. Guillen (2005). Globalization pressures: The global spread of central bank Independence. American Journal of Sociology, 110(6), 1764-1802.Pourgerami, A. y Maskus, K. (1987). The effects of inflation on the predictability of price changes in Latin America: Some estimates and policy implications. World Development, 15(2), 287-290.Press, W., Teukolsy, S., Vetterling, W. y Flannery, B. (1992). Numerical Recipes in Fortran. Cambridge: Cambridge University Press.Ramos-Francia, M. y Torres, A. (2005). 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Journal of Statistical Software, Foundation for Open Access Statistics, 7 (2).Eduardo Rosas Rojas, Teresa López González - 2018info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revfinypolecon.ucatolica.edu.co/article/view/1730Asymmetric effectsCentral bankInflationInflation uncertaintyBanco centralEfectos asimétricosIncertidumbre inflacionariaInflaciónBanco centralEfeitos assimétricosIncerteza inflacionáriaInflaçãoInflación e incertidumbre inflacionaria : la postura del Banco de México, 1969-2017.Inflation and inflation uncertainty : the position of the Bank of Mexico, 1969-2017.Artículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2636https://repository.ucatolica.edu.co/bitstreams/90e78993-6cf5-49a6-8f3c-ef313e67ceda/download50e60f3027c6a0636c06fda6a7d829a2MD5110983/29377oai:repository.ucatolica.edu.co:10983/293772023-03-24 15:40:50.301https://creativecommons.org/licenses/by-nc-sa/4.0/Eduardo Rosas Rojas, Teresa López González - 2018https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com |