Propagación de choques inflacionarios en Costa Rica
Palavras-chave:
Propagación, inflación, choques, VAR estructurales, clasificación JEL, C32, E31Resumo
Resumen
Se presenta una estimación de efectos de propagación de choques inflacionarios a grupos y productos del IPC mediante VAR estructurales. Se encontraron efectos de traspaso significativos para 6 de los 12 grupos del IPC, que abarcan más del 72% de la canasta. Estos grupos incluyen los asociados con alimentos, artículos para la vivienda, servicio doméstico y transporte. Las estimaciones sugieren que choques en los precios de alimentos y bebidas no alcohólicas y de hidrocarburos se transfieren por completo al resto de la canasta del IPC. La mayoría de efectos de propagación más importantes ocurren entre los 6 y los 10 meses después de los choques. Esto abarca los efectos de propagación asociados con hidrocarburos, regulados, transables e IPPI.
Referências
Benkwitz, A., Lütkepohl, H. y Wolters, J. (2001). Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems. Macroeconomic Dynamics, 5(01), 81‐100. Recuperado de http://edoc.hu‐berlin.de/series/sfb‐373‐papers/1999‐29/PDF/29.pdf
HHCasella, G., Girón, J., Martínez, L., & Moreno, E. (2009). Consistency of Bayesian procedures for variable selection. The Annals of Statistics, 37(3), 1207‐1228.
Chaverri, C. y Torres, C. (2010). Dinámica inflacionaria y persistencia en Costa Rica: período 1953‐2009. Manuscrito inédito. Departamento de Investigación Económica, Banco Central de Costa Rica, San JoséHH. Recuperado de http://www.hacienda.go.cr/centro/datos/Articulo/Dinamica%20inflacionaria.pdf
Franses, H. (1999). On the Interpretation of Seasonally Adjusted Data. Econometric Institute Report 9901/A. Rotterdam: Erasmus University.
Franses, H. (junio, 2001). Some Comments on Seasonal Adjustment. Revista de Economía del Rosario, 4, 9‐16.
Ghysels, E. (april, 1990). Unit‐Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. PostwarReal Gross National Product. Journal of Business y Economic Statistics, 8(2), 145‐152.
Ghysels, E. y Perron, P. (1993). The effect of seasonal adjustment filters on tests for a unit root. .Journal of Econometrics, 55(1‐2), 57‐98. Recuperado de http://www.sciencedirect.com/science/article/pii/030440769390004O
Hylleberg, S., Engle, R., Granger, C. & Yoo, B. S. (1990). Seasonal Integration and Cointegration. Journal of Econometrics, 44(1‐2), 215‐238.
Jaeger, A. y Kunst, R. (1990). Seasonal Adjustment and Measuring Persistence in Output. Journal of Applied. Econometrics, 5(1), 47‐58. doi: 10.1002/jae.3950050104
León, J. (2012). A Disaggregate Model and Second Round Effects for the CPI Inflation in Costa Rica. Recuperado de http://www.bccr.fi.cr/investigacioneseconomicas/politicamonetariaeinflacion/A_Disaggregated_Model_and_Second_Round_Effects_for_CPI_Inflation_in_Costa_Rica.pdf
HLian, H. (2012). A note on the consistency of Schwarz’s criterion in linear quantile regression with the SCAD penalty. Statistics and Probability Letters, 82(7), 1224‐1228. doi:10.1016/j.spl.2012.03.039
HLindé, J. (2003). Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986‐2002. En Sveriges Riksbank Working, Paper 153: Estocolmo, Suecia
HHLütkepohl, H. (1985). Comparison of criteria for estimating the order of a vector autoregressive process. Journal of Time Series Analysis, 6, 35‐52. doi: 10.1111/j.1467‐9892.1985.tb00396.x
HHLütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Nueva York: Springer.
HNickelsburg, G. (may, 1985). Small sample properties of dimensionality statistics for fitting VAR models to aggregate economic data: a Monte Carlo study. Journal of Econometrics, 28(2), 183‐192.
Pedersen, M. (2010). Propagation of Inflationary Shocks and An International Comparison of Propagation of Shocks to Food and Energy Price. Documentos de Trabajo 566. Santiago: Banco Central de Chile.
Pincheira, P. y García, A (abril, 2007). Shocks de petróleo e inflación, el caso de Chile y una muestra de países industriales. Economía Chilena, 10(1), 5‐36. (Ir a artículo)
Rodríguez, A. (2011). Análisis espectral de indicadores de precios en Costa Rica. Manuscrito inédito. Banco Central de Costa Rica, San José. Recuperado de http://www.cemla.org/red/papers2011/RED‐16‐papers‐15.pdf
Torres, C. (2012). Costa Rica: Determinación de cambios estructurales en el nivel de la tasa de inflación: periodo 1997‐2011. Manuscrito inédito. Banco Central de Costa Rica, San José. Recuperado de http://www.gbv.de/dms/zbw/717980278.pdf
Zivot, E. & Andrews, D. (july, 1992). Further Evidence on the Great Crash, the Oil‐Price Shock, and the Unit‐Root Hypothesis. Journal of Business & Economic Statistics, 10(3), 251‐70.
Downloads
Publicado
Como Citar
Edição
Seção
Licença
This publication is subject to the Creative Commons License; therefore, its attributions and restrictions must be respected.
Authors publishing in this Journal accept the following conditions:
- Authors retain copyright ownership and give the Journal first publication right of the paper, which is registered with the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. This license allows third parties to use the published work provided it is sourced as firstly published in this Journal.
- Authors may enter into other independent and additional contractual agreements for the non-exclusive distribution of the article published in this Journal (e.g., to be included in an institutional repository or published in a book) provided it is clearly stated that the work was published in this Journal for the first time.
- Authors are allowed and recommended to publish their work on the Internet (for example, on institutional or personal pages) before and during the review and publication process, as it can lead to productive exchanges and a greater and faster dissemination of work published.
The Economía & Sociedad Journal, published by Universidad Nacional, is licensed under a Creative Commons Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional License. Based on http://www.revistas.una.ac.cr/index.php/economia.
