Abstract

MELO VELANDIA, Luis Fernando  and  GRANADOS CASTRO, Joan Camilo. Expectativas y prima por riesgo inflacionario con una medida de compensación a la inflación. El trimestre econ [online]. 2012, vol.79, n.316, pp.839-864. ISSN 2448-718X.

We estimate the Break Even Inflation using the nominal and real government Colombian bonds for the period January 2003 to November 2009. This measure is decomposed in inflation expectations and inflation risk premium. The inflation expectations are calculated using a state-space representation of an extended affine term structure model. In order to improve the forecasts, this model incorporates the inflation expectations 12 months ahead of the Colombian Central Bank survey.

The results show an inflation expectation downward trend, which may be related to an increasing confidence in monetary policy. This hypothesis is also supported by a decreasing trend in the inflation risk premium for medium and long term maturities (two and five years). Finally, the results indicate that the break even inflation is a good indicator of the inflation expectations for the short term forecast horizon (one year).

Keywords : compensación inflacionaria; prima por riesgo inflacionario; expectativas de inflación; modelos de estado espacio; modelos afines de estructura a término..