LA (IN)ESTABILIDAD DE LA DEMANDA DE DINERO EN COLOMBIA, 2003-2020
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Abstract
En este trabajo realizamos un análisis empírico de la evolución del agregado monetario M3 y de sus componentes en Colombia, con el propósito de evaluar las propiedades de estabilidad de cada uno de los activos que forman M3. El análisis se realiza con base en pruebas de raíces unitarias y cointegración. La estacionariedad de las series se estudia mediante las pruebas de ADF-GLS y M-type test, así como con pruebas que consideran la posibilidad de cambio estructural. El estudio prosigue empleando el modelo de vectores de corrección de errores (VECM) y mínimos cuadrados ordinarios totalmente modificados (FMOLS) para estimar la relación de largo plazo entre los componentes de M3 y las variables macroeconómicas determinantes. Los resultados obtenidos nos permiten afirmar que la estabilidad de la demanda de los diferentes componentes de M3 se mantiene, a pesar de distintos shocks que han afectado a la economía colombiana durante estos años.
THE (IN)STABILITY OF MONEY DEMAND IN COLOMBIA, 2003-2020
ABSTRACT
An empirical analysis is made of the evolution of M3 and its components in Colombia during the period 2003-2020. The purpose is to evaluate the stability of each of the assets that make up the aggregate M3. Unit-root and co-integration tests are used. The stationarity of the series is studied by ADF-GLS and M-type tests, as well as with tests that incorporate the possibility of structural change. In the following we implement two different methodologies to estimate the long-run relationship between M3 components and the macroeconomic determinant variables [Vector Error Correction Model (VECM) and Fully Modified Ordinary Least Squares (FMOLS)]. The results obtained allow us to affirm that the stability of the demand of the different components of M3 is maintained, in spite of different shocks that have affected the Colombian economy over these years.
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