Los efectos asimétricos de la inflación, la incertidumbre inflacionaria y el crecimiento económico en México
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2020v35n90/RosasPalabras clave:
inflación, incertidumbre inflacionaria, crecimiento económico, modelos GARCH asimétricosResumen
Se explora el impacto de la inflación y su incertidumbre sobre el crecimiento económico de México. Además, se investiga la relación de causalidad entre la inflación y su incertidumbre nominal. Para ello, se estima un modelo de correlación condicional constante (CCC) GARCH Bivariado asimétrico, el cual permite modelar la incertidumbre de la inflación y del producto en el periodo de agosto de 1984 a junio de 2019. Estas variables se utilizan para comprobar el efecto de retroalimentación establecido por la teoría, empleando pruebas de causalidad de Granger con el enfoque Toda-Yamamoto. Los resultados empíricos muestran que, los choques de las malas noticias repercuten en mayor medida sobre la incertidumbre inflacionaria y del producto, si se les compara con impactos de igual magnitud provocados por las buenas noticias. También se comprueba el cumplimiento de la hipótesis de Friedman-Ball, la validez de la hipótesis de Holland, así como la presencia de un efecto Tobin en la economía mexicana.
Clasificación JEL: C32; D81; E31; F43.
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Ball, L. (1992). Why does higher inflation raise inflation uncertainty? Journal of Monetary Economics, 29(3), pp. 371-388. DOI: <https://doi.org/10.1016/0304-3932(92)90032-W>
Barro, R. J., y D. Gordon, (1983). A Positive Theory of Monetary Policy in a Natural Rate Model. Journal of Political Economy, (91), pp. 589–610. DOI: 10.1086/261167
Barro, R. J. (1995). Inflation and economic growth, NBER Working Paper Series 5326, Washington, D.C.: National Bureau of Economic Research, Inc.
Berndt, E., B. Hall, R. Hall, y J. Hausman, (1974). Estimation and inference in nonlinear structural models, Sanford V. Berg (editor) Annals of Economic and Social Measurement, 3(4), pp. 653 - 665. Recuperado de:<https://www.nber.org/chapters/c10206.pdf>
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), pp. 307-327. DOI:https://doi.org/10.1016/0304-4076(86)90063-1
Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Review of Economics and Statistics, Vol. 72 (3), 498–505. DOI: 10.2307/2109358
Bredin, D. y S. Fountas, (2009). Macroeconomic uncertainty and performance in the European Union. Journal of International Money and Finance, Vol. 28 (6), pp. 972–86. https://doi.org/10.1016/j.jimonfin.2008.09.003
Bredin, D., J. Elder, y S. Fountas, (2009). Macroeconomic uncertainty and performance in Asian countries. Review of Development Economics, Vol. 13(2), pp. 215-229. DOI: https://doi.org/10.1111/j.1467-9361.2009.00508.x
Brooks, C. (2019). Introductory Econometrics for Finance. Cambridge: Cambridge University Press. DOI: 10.1017/9781108524872
Bruno, M., y W. Easterly, (1998). Inflation crisis and long-run growth. Journal of Monetary Economics, Vol. 41 (1), pp. 3–26. https://doi.org/10.1016/S0304-3932(97)00063-9
Chowdhury, K. B., K. Srikanta, y N. Sarkar, (2018). Regime‐Dependent Effects of Uncertainty on Inflation and Output Growth: Evidence from the United Kingdom and the United States. Scottish Journal of Political Economy, Vol. 65(4), pp. 390-413. http://dx.doi.org/10.1111/sjpe.12168
Conrad, C. y M. Karanasos, (2005). On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach. Japan and the World Economy, Vol. 17 (3), pp. 327-43. https://doi.org/10.1016/j.japwor.2004.03.002
Conrad, C. y M. Karanasos, (2015). On the Transmission of Memory in GARCH‐In‐Mean Models. Journal of Time Series Analysis, Vol. 36(5), pp. 706-720. http://dx.doi.org/10.1111/jtsa.12119
Cukierman, A. y Meltzer, A. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica, Vol. 54(5), pp. 1099-1128. DOI: 10.2307/1912324
Daal, E., A. Naka. & B. Sanchez, (2005). Re-examining inflation and inflation uncertainty in developed and emerging countries. Economics Letters, 89(2), pp. 180-186. https://doi.org/10.1016/j.econlet.2005.05.024
Dotsey, M. y P. Sarte. (2000). Inflation Uncertainty and Growth in a Cash-in-advance Economy. Journal of Monetary Economics, Vol. 45 (3), pp. 631–655.https://doi.org/10.1016/S0304-3932(00)00005-2
Elder, J. (2004). Another perspective on the effects of inflation uncertainty. Journal of Money. Credit and Banking, Vol. 36 (5), pp. 911–28. DOI:10.1353/mcb.2004.0073
Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4). pp. 987-1007. DOI: 10.2307/1912773
Engle, R. F. y V. K. Ng, (1993). Measuring and Testing the Impact of News on Volatility. Journal of Finance, Vol. 48 (5), pp. 1749-78. https://doi.org/10.1111/j.15406261.1993.tb05127.x
Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary Economics, 32 (3), pp. 485–512. https://doi.org/10.1016/0304-3932(93)90027-D
Fountas, S. (2010). Inflation, inflation uncertainty and growth: are they related? Economic Modelling, 27(5), pp. 896-899. DOI: https://doi.org/10.1016/j.econmod.2010.06.001
Fountas, S., A. Ioannidis y M. Karanasos (2004). Inflation, inflation uncertainty and a common European monetary policy, The Manchester School, Vol. 72 (2), pp. 221-242. https://doi.org/10.1111/j.1467-9957.2004.00390.x
Fountas, S. y M. Karanasos, (2007). Inflation, output growth, and nominal and real uncertainty: empirical evidence for the G7. Journal of International Money and Finance, Vol. 26 (2), pp. 229–50. https://doi.org/10.1016/j.jimonfin.2006.10.006
Friedman, M. (1977). Nobel lecture: inflation and unemployment. Journal of Political Economy, vol. 85(3), pp. 451-472. http://dx.doi.org/10.1086/260579
Glosten, L., R. Jagannathan, y D. Runkle, (1993). On the relation between the expected value and the volatility of the normal excess return on stocks, The Journal of Finance 48(5), pp. 1779-1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, Vol. 37 (3), pp. 424–438.DOI: 10.2307/1912791
Grier K. y R. Grier (1998). Inflación e incertidumbre inflacionaria en México, 1960 – 1997. El Trimestre Económico, Vol. 65(259), pp. 407-426.
Grier, K. y M. J. Perry, (1998). “On inflation and inflation uncertainty in the G7 countries”, Journal of International Money and Finance, 17(4), pp. 671-689. https://doi.org/10.1016/S0261-5606(98)00023-0
Grier, K. B. y M. Perry, (2000). The effects of real and nominal uncertainty on inflation and output growth: some GARCH-M evidence, Journal of Applied Econometrics, Vol. 15(1), pp. 45-58. https://doi.org/10.1002/(SICI)1099-1255(200001/02)15:1<45::AID-JAE542>3.0.CO;2-K
Grier, R. y K. B. Grier, (2006). On the real effects of inflation and inflation uncertainty in México, Journal of Development Economics, Vol. 80(2), pp. 478-500. DOI: https://doi.org/10.1016/j.jdeveco.2005.02.002
Grier, K., O. Henry., N., Olekalns, y K. Shields, (2004). The asymmetric effects of uncertainty on inflation and output growth, Journal of Applied Econometrics vol. 19 (5), pp. 551–565. https://doi.org/10.1002/jae.763
Hartmann, M. y Roestel, J. (2013). Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages, Journal of international money and finance, Vol. 37 (C), pp. 98–112.https://doi.org/10.1016/j.jimonfin.2013.05.011
Holland, A. S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit and Banking, Vol. 27(3), pp. 827-837. DOI: 10.2307/2077753
Jiranyakul K., y T. P. Opiela, (2011). The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand. Asian Economic Journal, Vol. 25(3), pp. 291-307. https://doi.org/10.1111/j.1467-8381.2011.02062.x
Mohd S. H., A. Z. Baharumshah, y S. Fountas, (2012). Inflation, Inflation Uncertainty and Output Growth: Recent Evidence from ASEAN-5 Countries. The Singapore Economic Review (SER). Vol. 58(04), pages 1-17.https://doi.org/10.1142/S0217590813500306
Ozdemir, Z. A. (2010). Dynamics of inflation, output growth and their uncertainty in the UK: an empirical analysis. The Manchester School, Vol. 78 (6), pp. 511–37. https://doi.org/10.1111/j.1467-9957.2009.02153.x
Perrotini H. I. y D. Rodríguez, (2012). Inflación, incertidumbre inflacionaria y crecimiento económico en México: 1929-2009, Revista Mexicana de Economía y Finanzas, 7(1), pp. 1-26. DOI: https://doi.org/10.21919/remef.v7i1.23
Pourgerami, A. y K. Maskus, (1987). The effects of inflation on the predictability of Price changes in Latin America: some estimates and policy implications. World Development Vol. 15(2), pp. 287-290. DOI: https://doi.org/10.1016/0305-750X(87)90083-0
Rosas R. E., y T. S. López, (2018). Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017. Revista Finanzas y Política Económica, 10(2), pp. 349-372. DOI: https://doi.org/10.14718/revfinanzpolitecon.2018.10.2.6
Sidrauski, M. (1967). Rational choice and patterns of growth in a monetary economy. American Economic Review, vol. 57(2), 534–544.https://www.jstor.org/stable/i331577
Stockman, A. C. (1981). Anticipate inflation and the capital stock in cash-in-advance economy, Journal of Monetary Economics, Vol. 8(3), 387–393.https://doi.org/10.1016/0304-3932(81)90018-0
Thornton, J. (2007). The relationship between inflation and inflation uncertainty in emerging market economies. Southern Economic Journal, Vol. 73 (4), 858-870. DOI: 10.2307/20111932
Toda, H.Y. y T. Yamamoto, (1995). Statistical inference in vector autoregressions with possibly integrated process. Journal of Econometrics, Vol. 66 (1-2), pp. 225–250. https://doi.org/10.1016/0304-4076(94)01616-8
Tobin, J. (1965). Money and economic growth. Econometrica, Vol. 33(4), 671–684.DOI: 10.2307/1910352
Ungar, M., & B. Zilberfarb, (1993). Inflation and its Unpredictability –Theory and Empirical Evidence. Journal of Money, Credit, and Banking, vol. 25(4), pp. 709-720. DOI: 10.2307/2077800
Vogelsang, T. J. and P. Perron, (1998). Additional Tests for a Unit Root Allowing for a Break in the Trend at an Unknown Time, International Economic Review, 39(4), pp. 1073-1100. DOI: 10.2307/2527353
Wilson, B. K. (2006). The Links between Inflation, Inflation Uncertainty and Output Growth: New Time Series Evidence from Japan. Journal of Macroeconomics 28(3), pp. 609-620. DOI: https://doi.org/10.1016/j.jmacro.2004.11.004
Barro, R. J., y D. Gordon, (1983). A Positive Theory of Monetary Policy in a Natural Rate Model. Journal of Political Economy, (91), pp. 589–610. DOI: 10.1086/261167
Barro, R. J. (1995). Inflation and economic growth, NBER Working Paper Series 5326, Washington, D.C.: National Bureau of Economic Research, Inc.
Berndt, E., B. Hall, R. Hall, y J. Hausman, (1974). Estimation and inference in nonlinear structural models, Sanford V. Berg (editor) Annals of Economic and Social Measurement, 3(4), pp. 653 - 665. Recuperado de:<https://www.nber.org/chapters/c10206.pdf>
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), pp. 307-327. DOI:https://doi.org/10.1016/0304-4076(86)90063-1
Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Review of Economics and Statistics, Vol. 72 (3), 498–505. DOI: 10.2307/2109358
Bredin, D. y S. Fountas, (2009). Macroeconomic uncertainty and performance in the European Union. Journal of International Money and Finance, Vol. 28 (6), pp. 972–86. https://doi.org/10.1016/j.jimonfin.2008.09.003
Bredin, D., J. Elder, y S. Fountas, (2009). Macroeconomic uncertainty and performance in Asian countries. Review of Development Economics, Vol. 13(2), pp. 215-229. DOI: https://doi.org/10.1111/j.1467-9361.2009.00508.x
Brooks, C. (2019). Introductory Econometrics for Finance. Cambridge: Cambridge University Press. DOI: 10.1017/9781108524872
Bruno, M., y W. Easterly, (1998). Inflation crisis and long-run growth. Journal of Monetary Economics, Vol. 41 (1), pp. 3–26. https://doi.org/10.1016/S0304-3932(97)00063-9
Chowdhury, K. B., K. Srikanta, y N. Sarkar, (2018). Regime‐Dependent Effects of Uncertainty on Inflation and Output Growth: Evidence from the United Kingdom and the United States. Scottish Journal of Political Economy, Vol. 65(4), pp. 390-413. http://dx.doi.org/10.1111/sjpe.12168
Conrad, C. y M. Karanasos, (2005). On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach. Japan and the World Economy, Vol. 17 (3), pp. 327-43. https://doi.org/10.1016/j.japwor.2004.03.002
Conrad, C. y M. Karanasos, (2015). On the Transmission of Memory in GARCH‐In‐Mean Models. Journal of Time Series Analysis, Vol. 36(5), pp. 706-720. http://dx.doi.org/10.1111/jtsa.12119
Cukierman, A. y Meltzer, A. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica, Vol. 54(5), pp. 1099-1128. DOI: 10.2307/1912324
Daal, E., A. Naka. & B. Sanchez, (2005). Re-examining inflation and inflation uncertainty in developed and emerging countries. Economics Letters, 89(2), pp. 180-186. https://doi.org/10.1016/j.econlet.2005.05.024
Dotsey, M. y P. Sarte. (2000). Inflation Uncertainty and Growth in a Cash-in-advance Economy. Journal of Monetary Economics, Vol. 45 (3), pp. 631–655.https://doi.org/10.1016/S0304-3932(00)00005-2
Elder, J. (2004). Another perspective on the effects of inflation uncertainty. Journal of Money. Credit and Banking, Vol. 36 (5), pp. 911–28. DOI:10.1353/mcb.2004.0073
Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4). pp. 987-1007. DOI: 10.2307/1912773
Engle, R. F. y V. K. Ng, (1993). Measuring and Testing the Impact of News on Volatility. Journal of Finance, Vol. 48 (5), pp. 1749-78. https://doi.org/10.1111/j.15406261.1993.tb05127.x
Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary Economics, 32 (3), pp. 485–512. https://doi.org/10.1016/0304-3932(93)90027-D
Fountas, S. (2010). Inflation, inflation uncertainty and growth: are they related? Economic Modelling, 27(5), pp. 896-899. DOI: https://doi.org/10.1016/j.econmod.2010.06.001
Fountas, S., A. Ioannidis y M. Karanasos (2004). Inflation, inflation uncertainty and a common European monetary policy, The Manchester School, Vol. 72 (2), pp. 221-242. https://doi.org/10.1111/j.1467-9957.2004.00390.x
Fountas, S. y M. Karanasos, (2007). Inflation, output growth, and nominal and real uncertainty: empirical evidence for the G7. Journal of International Money and Finance, Vol. 26 (2), pp. 229–50. https://doi.org/10.1016/j.jimonfin.2006.10.006
Friedman, M. (1977). Nobel lecture: inflation and unemployment. Journal of Political Economy, vol. 85(3), pp. 451-472. http://dx.doi.org/10.1086/260579
Glosten, L., R. Jagannathan, y D. Runkle, (1993). On the relation between the expected value and the volatility of the normal excess return on stocks, The Journal of Finance 48(5), pp. 1779-1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, Vol. 37 (3), pp. 424–438.DOI: 10.2307/1912791
Grier K. y R. Grier (1998). Inflación e incertidumbre inflacionaria en México, 1960 – 1997. El Trimestre Económico, Vol. 65(259), pp. 407-426.
Grier, K. y M. J. Perry, (1998). “On inflation and inflation uncertainty in the G7 countries”, Journal of International Money and Finance, 17(4), pp. 671-689. https://doi.org/10.1016/S0261-5606(98)00023-0
Grier, K. B. y M. Perry, (2000). The effects of real and nominal uncertainty on inflation and output growth: some GARCH-M evidence, Journal of Applied Econometrics, Vol. 15(1), pp. 45-58. https://doi.org/10.1002/(SICI)1099-1255(200001/02)15:1<45::AID-JAE542>3.0.CO;2-K
Grier, R. y K. B. Grier, (2006). On the real effects of inflation and inflation uncertainty in México, Journal of Development Economics, Vol. 80(2), pp. 478-500. DOI: https://doi.org/10.1016/j.jdeveco.2005.02.002
Grier, K., O. Henry., N., Olekalns, y K. Shields, (2004). The asymmetric effects of uncertainty on inflation and output growth, Journal of Applied Econometrics vol. 19 (5), pp. 551–565. https://doi.org/10.1002/jae.763
Hartmann, M. y Roestel, J. (2013). Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages, Journal of international money and finance, Vol. 37 (C), pp. 98–112.https://doi.org/10.1016/j.jimonfin.2013.05.011
Holland, A. S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit and Banking, Vol. 27(3), pp. 827-837. DOI: 10.2307/2077753
Jiranyakul K., y T. P. Opiela, (2011). The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand. Asian Economic Journal, Vol. 25(3), pp. 291-307. https://doi.org/10.1111/j.1467-8381.2011.02062.x
Mohd S. H., A. Z. Baharumshah, y S. Fountas, (2012). Inflation, Inflation Uncertainty and Output Growth: Recent Evidence from ASEAN-5 Countries. The Singapore Economic Review (SER). Vol. 58(04), pages 1-17.https://doi.org/10.1142/S0217590813500306
Ozdemir, Z. A. (2010). Dynamics of inflation, output growth and their uncertainty in the UK: an empirical analysis. The Manchester School, Vol. 78 (6), pp. 511–37. https://doi.org/10.1111/j.1467-9957.2009.02153.x
Perrotini H. I. y D. Rodríguez, (2012). Inflación, incertidumbre inflacionaria y crecimiento económico en México: 1929-2009, Revista Mexicana de Economía y Finanzas, 7(1), pp. 1-26. DOI: https://doi.org/10.21919/remef.v7i1.23
Pourgerami, A. y K. Maskus, (1987). The effects of inflation on the predictability of Price changes in Latin America: some estimates and policy implications. World Development Vol. 15(2), pp. 287-290. DOI: https://doi.org/10.1016/0305-750X(87)90083-0
Rosas R. E., y T. S. López, (2018). Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017. Revista Finanzas y Política Económica, 10(2), pp. 349-372. DOI: https://doi.org/10.14718/revfinanzpolitecon.2018.10.2.6
Sidrauski, M. (1967). Rational choice and patterns of growth in a monetary economy. American Economic Review, vol. 57(2), 534–544.https://www.jstor.org/stable/i331577
Stockman, A. C. (1981). Anticipate inflation and the capital stock in cash-in-advance economy, Journal of Monetary Economics, Vol. 8(3), 387–393.https://doi.org/10.1016/0304-3932(81)90018-0
Thornton, J. (2007). The relationship between inflation and inflation uncertainty in emerging market economies. Southern Economic Journal, Vol. 73 (4), 858-870. DOI: 10.2307/20111932
Toda, H.Y. y T. Yamamoto, (1995). Statistical inference in vector autoregressions with possibly integrated process. Journal of Econometrics, Vol. 66 (1-2), pp. 225–250. https://doi.org/10.1016/0304-4076(94)01616-8
Tobin, J. (1965). Money and economic growth. Econometrica, Vol. 33(4), 671–684.DOI: 10.2307/1910352
Ungar, M., & B. Zilberfarb, (1993). Inflation and its Unpredictability –Theory and Empirical Evidence. Journal of Money, Credit, and Banking, vol. 25(4), pp. 709-720. DOI: 10.2307/2077800
Vogelsang, T. J. and P. Perron, (1998). Additional Tests for a Unit Root Allowing for a Break in the Trend at an Unknown Time, International Economic Review, 39(4), pp. 1073-1100. DOI: 10.2307/2527353
Wilson, B. K. (2006). The Links between Inflation, Inflation Uncertainty and Output Growth: New Time Series Evidence from Japan. Journal of Macroeconomics 28(3), pp. 609-620. DOI: https://doi.org/10.1016/j.jmacro.2004.11.004
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2020-09-04
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Rosas Rojas, E. (2020). Los efectos asimétricos de la inflación, la incertidumbre inflacionaria y el crecimiento económico en México. Análisis Económico, 35(90), 45–66. https://doi.org/10.24275/uam/azc/dcsh/ae/2020v35n90/Rosas
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