Un análisis econométrico de la relación entre la tasa de interés real y expectativas de inflación

Abstract

The purpose of this work is to analyze the pertinence of the usually adopted assumption of constant real-interest rates. We address an empirical question regarding the statistical relationship between ex-ante real interest rates and expectations of inflation for the following period: June 1985 to May 1994. As then exist no observed time series on market participants´ subjective expectations of inflation, for the determination of such expectations we assume a predictor in the context of rational expectations. The statistical work in this paper is based on two methodologies: a vector auto-regressive specification is used to analyze multivariate temporal precedence and the "general to particular" methodology is employed to determine a dynamic general relationship for the real interest rate. Our main conclusion is the negative corelation betwen ex-ante real interest rates and expectations of inflation. This result implies that general interest rates are not constant over time. If ex-ante real interest rates had been constant, the correlation would have been zero.