Determinants of inflation expectations in Colombia: a VAR-X analysis

Purpose This study aims to investigate the determinants of inflation expectations in Colombia through a vector autoregression model with exogenous variables (VAR-X) and uses quarterly data for survey-based inflation expectations and different supply shocks. Design/methodology/approach We propose a VAR-X model. Despite data unavailability, we gathered quarterly data for the period 2005–2022 for the following variables: oil price, real exchange rate, headline inflation, output gap, policy interest