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Hipótesis de Fisher y cambio de régimen en Colombia: 1990-2010

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  • Madeleine Gil Ángel

    ()

  • Jacobo Campo Robledo

Abstract

La mayor parte de la evidencia empírica sobre el efecto de Fisher o la hipótesisde Fisher sostiene que la relación entre la tasa de inflación y la tasa de interés nominaldebe ser igual a uno. Este artículo analiza la relación entre la tasa de interés nominaly la tasa de inflación para la economía colombiana, durante el periodo comprendidoentre 1990-2010. Igualmente, se presenta evidencia empírica sobre la existencia de unarelación positiva de largo plazo entre la tasa de interés nominal y la tasa de inflaciónpara Colombia. Adicionalmente, se aplica una prueba de cointegración con cambio derégimen, esta fue desarrollada por Gregory y Hansen (1996), la cual permite presentarevidencia estadística de la existencia de un cambio estructural en esta relación hacia finales de los años noventa._____________ABSTRACTMost of the empirical evidence on the Fisher Effect" or "Fisher hypothesis"holds that the relationship between inflation and nominal interest rate must be equalto one. This paper analyzes the relationship between the nominal interest rate andinflation rate, known as the "Fisher Effect" or "Fisher hypothesis" for the Colombianeconomy during the period 1990M1 - 2010M12. We present empirical evidence onthe existence of a positive long-run relationship between the nominal interest rate andinflation rate in Colombia. Additionally, applies a cointegration test with regime changedeveloped by Gregory y Hansen (1996), which allows present statistical evidence of the existence of a structural change in this relationship in the late nineties."

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Article provided by UNIVERSIDAD CATOLICA DE COLOMBIA in its journal REVISTA FINANZAS Y POLÍTICA ECONÓMICA.

Volume (Year): (2011)
Issue (Month): ()
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Handle: RePEc:col:000443:009848

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Keywords: efecto Fisher; tasa de inflación; tasa de interés nominal; cointegración; cambio estructural; Colombia: Fisher Effect; inflation rate; nominal interest rate; cointegration; structural change; Colombia;

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