Lack of Credibility, Inflation Persistence and Disinflation in Colombia
Autor | Andrés González G., Franz Hamann |
Páginas | 61-97 |
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ISSN 0120-3584.
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*
Andrés González G.**
Franz Hamann***
ad-hoc
.
-
fha-
mansa@banrep.gov.co
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Key words
JEL
-
ad-hoc-
Palabras clave-
JEL
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-
-
-
-
”
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Table 1. Recent estimates of inflation persistence in Colombia.
-
CPI
-
CPI
2010-6
-
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1
-
-
-
1
66
Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Table 2. Credibility and inflation targeting in Colombia.
Year
1999
2000
2001
2002
2006
2009
2010
Source
2
2
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-
-
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Table 3. Sacrifice ratios for Colombia and Latin America.
-
-
1991-2001
-
-
1990-2001
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-
y x
t t t
=m+
x x
t t t
=1 3
ρ ν
−+
µβ µ ν
=1 1 1− −
+ +
β β ν
=1 2−+
-
-
70
Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
ν σνit
i
N0, 2
( )
i= 1, 2,3 E[ ] = 0
it js i j t s≠ ≠ and
x x
t t t
=1 3
ρ ν
−+r
∈ −( 1,1)
-
m-
-
CPICPI
pCP I NF−CPIpCPI T−
p
CPI NT−
p
CPI R−
pCPI B−
CPI
-
6
USGDP
6
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Table 4. Estimated persistence for the different inflation rates.
pCPI pCPI-T pCPI-NT pCPI-NF pCPI-R pCPI-B
rx x
t t t
=1 3
ρ ν
−+
p
CPI
Figure 1. CPI inflation persistence - rolling window.
CPI
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Figure 2. Estimated mt and xt: CPI, CPIT and CPINT inflation.
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Figure 3. Estimated mt and xt: CPIR, CPINF and CPIB inflation.
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Lack of Credibility, Inflation Persistence and
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Andrés González G. y Franz Hamann
-
π β π λ
t t t t t
E mc u=1++ +
y E y i E E g g
t t t t t t t t t
=1 1 1+ + +
− − + −
( )
σ π
i i y z
t i t i t ty t t
= (1 ) ,
1
γ γ γ π π γ
π−+ − −
( )
+
+
p pmc
igz are
u
E-
λα βθ θ
θ α ε
=(1 )(1 )(1 )
(1 ( 1))
− − −
+ −
aq
ε
∈(0,1]
>0
γπ y i
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y a n
t t t
= (1 )+−a
mc w n y
t t t t
=+−
mrs y n g
t t t t
=
1
ση+−
w mrs
t t
=
yan
w m
a a
t a t t
a
=1
ρε
−+
g g
t g t t
g
=1
ρε
−+
zt t
i
=e
ej
jj a g i for = , ,
p
p
et
qet
p
p
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
p -
pt
p pt
q
p p p p p
t t
p
t
q
− − += ( )
π π
π
ρ
ρ
π π
π
ε
ε
t
p
t
q
p
q
t
p
t
q
t
p
t
q
−
−
+
−
−
=0
0
1
1
..
Zt t
p
t
q
= , '
p p p−
Fp q
= ,diag r r
( )
H= [1,1]
Z FZ
t t t
=1−+e
-
et
p et
qvp
vq
-
E Z FE Z L HFE Z t t
t t t t gain t t t
= ( ); = 0, ,
1 1 1 1− − − −
+ −p
K FL
gain gain
=Lgain
pt t t
HFE Z−− −1 1
-
E Z
t t
j
E HF E Z
t t j
j
t t
p p
++=
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r
q
= 0
rp
= 1
p-
E E E
t t
p
t t
p
t t t
( ) = ( ) ( ).
1 1 1
π π π π κ π π− − + −
− − −
u
u E
ttt t
=11
βπ π
++
−
( )
p
+1-
ut= 0
ut≠0u
-
u
u u
t t t
c
= (1 ) (1 )
1
− + −
−
κ κ ε
-
et
c
c
= 1
ut= 0 Et t t
p p
++
11
=
78
Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
-
-
A. Data
CPI
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GDP
d y i w
t t t t t
= , , ,p
( )
Φση θ κ γ γ γ ρ ρ σ σ σ σ
π
=1, , , , , , , , , , , ,
i y a g a g i c
aε
= 0.98
-
GDP a
= 0.36
ε
-
qε
q
q
are
γ γ
π= 1.5 = 0.125 and
y
a-
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
is
= 0.19
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Table 5. Prior and posterior distributions: Imperfect and full credibility.
Mean Std
Mean
Mean
1
q
- -
- -
i
γπ
y
r
a
rg
a
g
i
c - -
γπ=1.97 y= 0.14
i=
0.11
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
γπ= 1.34 y= 0.19 i= 0.10
HPD -
-
-
-
-
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Figure 4. Prior and posterior distributions.
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Lack of Credibility, Inflation Persistence and
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Andrés González G. y Franz Hamann
Figure 5. Estimated speed of learning for pre- and post-inflation tar-
geting periods.
-
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Figure 6. Imperfect credibility model: Smoothed shocks.
-
9
-
ad-hoc
9
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
πφ π φ π φ
t t t t t
E mc=1 1 2 1 3− +
+ +
φ
ν
νβ
1=1+ φβ
νβ
2=
1+
φ
λ
νβ
3=
1+
10
-
M
pM
i
qp qi p
i
YT
m p i= ,
p YT m
M
( )
p Y p p Y d
T m
m
m m T m m m
M M M
( ) ( ) ( )
∫
= ,
Θq q q
qm
p Y p M p Y
p M p Y
m T
m T m
m p i
m T m
M
M
M
( )
( )
( )
∑
=( )
( )
= ,
10
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pm
M
( )
p Y
p Y
p p Y
p p Y
i T
p T
pi T i
o T o
M
M
M M
M M
( )
( )
( )
( )
=( )
( ) .
Fp Y
p Y
p i
T i
T p
,=
M
M
( )
( )
M
i
p YT i
M
( )
= (940.1)exp p YT p
M
( )
= (746.7)exp
11
-
NKPC
-
11
88
Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
12
-
12
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-
Table 6. Disinflation costs and monetary policy effort (basis points).
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Figure 7. Response to a decrease of the inflation target under imperfect
credibility.
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ad-hoc-
= 0.95
-
Figure 8. Output and interest rate gaps after a decrease of 1% in the
inflation target.
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Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
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ISSN 0120-3584.
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93
Journal of
DSGE
94
Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
CEDE
Archivos
de Economía DNP
-
Journal
of Macroeconomics
Journal of
Oxford Economic Papers
-
Policy
67
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-
Time series analysis
-
-
96
Lack of Credibility, Inflation Persistence and
Disinflation in Colombia
Andrés González G. y Franz Hamann
Journal of Macroeconomics
Journal of
-
-
Journal of
-
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Archivos de Economía DNP
Cuadernos de Economía
Journal
DSGE
and dynamic models