Efectos de las variaciones del IPC en las decisiones financieras

Effects of CPI Variations on Financial Decisions

Juan Pablo Alfonso Zorro

Econógrafos, Escuela de Economía from Universidad Nacional de Colombia, FCE, CID

Abstract: In this document, a market analysis was developed which derived in an econometric model with a view to determining the behaviour of the Consumer Price Index in a time horizon of 2 years, to give support to the financial decision making of investment and financing. The analysis took into account the Surveys to experts and the Forecasts to financial entities. However, when facing said information with the observed CPI, it was concluded that the forecasts and surveys mentioned did not have a reliable two-year prediction capacity. Since the market did not comply with the proposed objective, it was necessary to develop an ARIMA-type econometric model with monthly data from January 2010 to December 2018. In the construction of the model, it was determined that the volatility of the CPI was strongly influenced by the food price, and therefore the El Niño phenomenon and transport stoppages would be the ideal variables in shaping the model. As a result, a two-year CPI projection was obtained. However, the forecast presented a considerable and increasing standard deviation over time that reduced the effectiveness of the model to one year. In the development of the model as a step to follow, it is necessary to carry out a response impulse function of the Dummy variables and to adapt the model to the new CPI methodology proposed by DANE for 2019.

Keywords: IPC; Fan Chart; ARIMA; “El Niño” phenomenon; transportation stoppage; devaluation (search for similar items in EconPapers)
JEL-codes: C51 C52 C53 E31 E37 (search for similar items in EconPapers)
Pages: 42
Date: 2019-07
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Published in Econografos

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Persistent link: https://EconPapers.repec.org/RePEc:col:000176:022731

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