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Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia

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  • Luis Eduardo Arango

    ()

  • Luz Adriana Flórez

    ()

Abstract

Se presenta evidencia clara a favor de la hipótesis de que la estructura a plazo real contiene información sobre las expectativas de la actividad económica en Colombia para los plazos entre 6 y 12, 6 y 24, y 12 y 24 meses adelante. Los signos de los coeficientes estimados son, en todos los casos, los que predice la teoría. La capacidad de pronóstico del modelo es mejor para el período entre 6 y 12 meses adelante que para períodos superiores.

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Bibliographic Info

Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (2004)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000107:002694

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Keywords: TERM STRUCTURE; SPREAD OF INTEREST RATES; EXPECTATIONS OF ECONOMIC ACTIVITY;

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References

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  1. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  2. Hall, Robert E, 1988. "Intertemporal Substitution in Consumption," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-57, April.
  3. Luis Fernando Melo & Fabio Nieto & Mario Ramos, . "A Leading Index for the Colombian Economic Activity," Borradores de Economia 243, Banco de la Republica de Colombia.
  4. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
  5. Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
  6. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia.
  7. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  8. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA.
  9. Luis Eduardo Arango & Angélica María Arosemena, 2002. "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de Literatura," BORRADORES DE ECONOMIA 003138, BANCO DE LA REPÚBLICA.
  10. Campbell R. Harvey, 1997. "The Relation between the Term Structure of Interest Rates and Canadian Economic Growth," Canadian Journal of Economics, Canadian Economics Association, vol. 30(1), pages 169-93, February.
  11. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
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Cited by:
  1. Arango, Luis Eduardo & Flórez, Luz Adriana, 2008. "Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(297), pages 183-210, enero-mar.
  2. Karim Parra, 2010. "Factores determinantes del margen entre la deuda," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  3. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia.

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