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Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia

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Author Info

  • Arango, Luis Eduardo

    (Banco de la República)

  • Flórez, Luz Adriana

Abstract

Taking into account the risk premium within Fisher equation and the rapid decrease of inflation in Colombia at the end of last decade we test the hypothesis of linearity for the expected inflation differentials between 6 and 12 months ahead built by assuming four different expectation mechanisms about future inflation: rational, autoregressive, static and adaptive expectations. Two sets of information are used to check the hypothesis of the Fisher effect: the return index of the official bonds traded through the Colombian Stock Market, IRTES and the cero-coupon curves. The hypothesis of linearity is rejected when expectations are forward looking. With the IRTES curve the results are those predicted by the theory regarding sing and significance. The information content of the spread of interest rates is sensitive to information set used and to the expectation mechanism.// La consideración de la prima de riesgo de inflación en la ecuación de Fisher y la rápida caída en la inflación en Colombia entre los años 1999 y 2000 nos permiten examinar la hipótesis de linealidad para los diferenciales esperados de inflación entre 6 y 12 meses adelante construidos suponiendo cuatro mecanismos de formación de expectativas de la inflación futura: expectativas racionales, autorregresivas, estáticas y adaptativas. Se emplean dos conjuntos de información para examinar la hipótesis de la existencia del efecto Fisher: el índice de rentabilidad de los títulos de endeudamiento (TES) comerciados en la Bolsa de Valores de Colombia, IRTES, y la curva cupón cero. La hipótesis de linealidad se rechaza con el mecanismo de expectativas racionales. Siempre que se usa la IRTES los resultados son los que predice la teoría en signo y significación. El contenido informativo del spread de tasas de interés es sensible al conjunto de información utilizado y al mecanismo de expectativas empleado.

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Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXV (1) (2008)
Issue (Month): 297 (enero-marzo)
Pages: 183-210

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Handle: RePEc:elt:journl:v:75:y:2008:i:297:p:183-210

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Web page: http://www.fondodeculturaeconomica.com/

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Related research

Keywords: estructura a plazo de tasas de interés; ecuación de Fisher; prima de riesgo; regímenes inflacionarios; no linealidades;

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References

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  1. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  2. 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.
  3. Robert W. Dimand, 1999. "Irving Fisher and the Fisher Relation: Setting the Record Straight," Canadian Journal of Economics, Canadian Economics Association, vol. 32(3), pages 744-750, May.
  4. Lawrence H. Summers, 1984. "The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect," NBER Working Papers 0836, National Bureau of Economic Research, Inc.
  5. Luis Eduardo Arango & Angélica María Arosemena, 2003. "El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," BORRADORES DE ECONOMIA 002558, BANCO DE LA REPÚBLICA.
  6. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
  7. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Working Papers 97-10, Bank of Canada.
  8. Mishkin, Frederic S & Simon, John, 1995. "An Empirical Examination of the Fisher Effect in Australia," The Economic Record, The Economic Society of Australia, vol. 71(214), pages 217-29, September.
  9. Camero G., Eduardo & Castellanos, Sara, 2002. "¿Qué información acerca de expectativas de inflación contiene la estructura temporal de tasas de interés en México?," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(275), pages 327-353, julio-sep.
  10. Sebastian Schich, 1999. "The information content of the German term structure regarding inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 385-395.
  11. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
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Cited by:
  1. Andrés Langebaek R. & Eliana González Molano, . "Inflación Y Precios Relativos En Colombia," Borradores de Economia 459, Banco de la Republica de Colombia.
  2. Andrés Langebaek & Eliana González M., 2007. "Inflación Y Precios Relativos En Colombia," BORRADORES DE ECONOMIA 004248, BANCO DE LA REPÚBLICA.

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