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In the present investigation, which is part of the economy and finance, we estimate the inflation risk premium for Colombia from inflation expectations contained in the Break-Even Inflation (BEI) indicator. The models used in previous studies of this type are structurally complex because they are not parsimonious, given that the number of parameters to be estimated is high and difficult to understand, focusing primarily on the measurement of inflation expectations. Additional to this, all require primary information about the behavior of inflation expectations from surveys conducted by the central banks. The methodology used is the Kalman filter with a state space representation for the dynamic Nelson and Siegel equation. The data used are the nominal bond yields and inflation-indexed securities for the period January 2003 to September 2010; public information was provided by the Colombian stock exchange. The results show that the inflation risk premium for a five-year period is 53 basis points.