VAR IPP-IPC Model Simulation

Abstract

This work analyzed the relationship of the two main Price indicators in the Colombian economy, the IPP and the IPC. For this purpose, we identified the theory comprising both indexes to then develop a vector autoregressive model, which shows the reaction to shocks both in itself as in the other variable, whose impact continues propagating in the long term. Additionally, the work presents a simulation of the VAR model through the Monte Carlo method, verifying the coincidence in distributions of probability and volatility levels, as well as the existence correlation over time

Authors

  • Juan Pablo Perez Monsalve
  • Alfredo Trespalacios Carrasquilla

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Keywords

Author Biographies


Economista, Universidad Nacional de Colombia, Medellín, Colombia.  E-mail: jupperezmo@unal.edu.co

Docente hora cátedra, Área de Ingeniería Financiera, Universidad EAFIT, Medellín, Colombia.Docente hora cátedra, Escuela de Ingenieros de Antioquia, Medellín, Colombia.Profesional Mercado de Energía Mayorista, Empresas Públicas de Medellín, Medellín, Colombia.Ingeniero Electricista, Universidad Nacional de Colombia, Medellín, Colombia. MSc Finanzas de la Universidad EAFIT, Medellín, Colombia.E-mail: alfredo.trespalacios@epm.com.co
Published
2014-11-12
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How to Cite
Perez Monsalve, J., & Trespalacios Carrasquilla, A. (2014). VAR IPP-IPC Model Simulation. Cuadernos De Administración, 30(52), 84-93. https://doi.org/10.25100/cdea.v30i52.33
Section
Research