Effects of fiscal credibility on inflation expectations: evidence from an emerging economy
https://doi.org/10.3326/pse.45.1.4 | Published online: March 9, 2021 Figure 1
Inflation expectations in the Colombian economy (in %) Source: Author´s elaboration. Data from the Central Bank of Colombia. Trend calculated with the Hodrick-Prescott filter. Figure 2
Fiscal deficit expectations and overall fiscal deficit observed in Colombia (in % of GDP) Source: Author´s elaboration. Data from the Central Bank of Colombia. Figure 3
Fiscal credibility loss in Colombia case (in %) Source: Author´s elaboration. Data from the Central Bank of Colombia. Figure 4
Inflation expectations and fiscal credibility loss in Colombia Source: Author's elaboration. Data from the Central Bank of Colombia. Table 1
Inflation expectations determinants in Colombia
Note: Marginal significance levels: (***) denotes 0.01, (**) denotes 0.05, and (*) denotes 0.10. Standard errors are in parentheses and t-statistics in brackets. P(F-statistic) report the respective p-value of the F-test. P(J-statistic) report the respective p-valued of the J-test. The list of GMM instruments are presented in table A6 (appendix). Figure 5
Fiscal credibility coefficient: recursive estimates, model 1, 2, 3, 4, 5 (in %) Source: Author´s elaboration. Data from the Central Bank of Colombia. Table A1
Sources of data and description of the variables
Table A2
Descriptive statistics
Note: E(π), DEF, E(DEF), CRED LOSS, π and U were used in %. Table A3
Unit root tests (ADF, PP, and KPSS)
Note: C.V., critical value. Trend (T) and intercept (I) are included based on Schwarz criterion.ADF – the final choice of lag was made based on Schwarz criterion. PP and KPSS – spectral estimation method is Bartlett kernel and the Newey-West Bandwidth is used.Table A4
VAR lag order selection criteria (with constant)
Note: * denotes the lag order selection. Table A5
Number of cointegrating relations by model
Note: *Model selected by the Schwarz criterion. Values based on Mackinnon. **Denotes the null hypothesis rejection at 5%. Table A6
List of GMM instrument
Clicking on the Crossmark logo will tell you the current status of a document and may also give you additional publication record information about the document. For more details see IPF Crossmark policy page. |
March, 2021I/2021 |