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El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia

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Author Info
Luis E Arango
Luz Adriana Flórez
Angélica M Arosemena
Abstract

This article tests the hypothesis that the term structure of interest rates contains information about future economic activity in Colombia. According to the multilogit approach used to verify the hypothesis that an increase in the spread of interest rates reduce the probability of having a rather poor economic performance in the future. This result, in correspondence with the theoretical model, holds for the period between 12 and 24 months ahead. The inclusion of monetary variables in the empirical model affects neither the statistical significance nor the signs of both the spread the inflation differential for the period between 12 and 24 months ahead. However, the growth of monetary base also contains information about the economic environment in the next future.

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Publisher Info
Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.

Volume (Year): 42 (2005)
Issue (Month): 125 ()
Pages: 79-101
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Handle: RePEc:ioe:cuadec:v:42:y:2005:i:125:p:79-101

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Related research
Keywords: Estructura a Plazo; Spread de Tasas de Interés; Diferencial de Inflación; Expectativas de Actividad Económica; Logit Ordenados;

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Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Arturo Estrella & Frederic S. Mishkin, 1996. "The yield curve as a predictor of U.S. recessions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Jun. [Downloadable!]
  2. Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements. [Downloadable!]
    Other versions:
  3. Catherine Bonser-Neal & Timothy R. Morley, 1997. "Does the yield spread predict real economic activity? : a multicountry analysis," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 37-53. [Downloadable!]
  4. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-76, June. [Downloadable!] (restricted)
    Other versions:
  5. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia. [Downloadable!]
  6. Fama, Eugene F., 1986. "Term premiums and default premiums in money markets," Journal of Financial Economics, Elsevier, vol. 17(1), pages 175-196, September. [Downloadable!] (restricted)
  7. Christian Johnson, 2001. "Un Modelo de Switching para el Crecimiento en Chile," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 291-319. [Downloadable!]
    Other versions:
  8. 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. [Downloadable!] (restricted)
  9. Kim, Kenneth A. & Limpaphayom, Piman, 1997. "The effect of economic regimes on the relation between term structure and real activity in Japan," Journal of Economics and Business, Elsevier, vol. 49(4), pages 379-392. [Downloadable!] (restricted)
  10. Neil Arnwine, 2004. "Fisher Equation and Output Growth," Departmental Working Papers 0408, Bilkent University, Department of Economics. [Downloadable!]
  11. Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December. [Downloadable!] (restricted)
  12. Michael Dotsey, 1998. "The predictive content of the interest rate term spread for future economic growth," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 31-51. [Downloadable!]
  13. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
  14. 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. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Idrovo Aguirre, Byron, 2006. "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
    [An estimation of short and long term rates spread: a leading indicator]    ," MPRA Paper 11116, University Library of Munich, Germany, revised 12 Mar 2007. [Downloadable!]
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