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Nuestro Prof. Gabriel Rodriguez junto a Luis Surco publicaron el artículo Modeling the Trend, Persistence, and Volatility of Inflation in Pacific Alliance Countries: An Empirical Application Using a Model with Inflation Bands en el journal Latin American Economic Review.
Abstract
This paper estimates and analyzes the dynamics of trend inflation, as well as the persistence and volatilityof the inflation gap, in the Pacific Alliance countries (Chile, Colombia, Mexico, and Peru). The econometricapproach employs methodologies proposed by Stock and Watson (2007) and Chan et al. (2013), includingthe AR-Trend-Bound model, which incorporates the implications of inflation targeting in estimating theunobserved components of inflation. The results show that this model effectively attributes most of thepermanent component to trend inflation. Additionally, all four countries exhibit a declining trend inflationduring the 1990s, stabilization in the first two decades of the century, and a growing trend inflation followingthe onset of the COVID-19 pandemic. The low levels of inflation gap persistence before the pandemicreflect the effectiveness of central banks in keeping inflation close to its trend level. Lastly, the volatilityof the inflation gap captures the Great Moderation of inflation, with pandemic-era increases in volatilityreaching levels comparable to those observed in the 1990s
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