This paper analyzes the effects of changes of Banco de la República’s policy interest rate in the term structure. The evidence suggests that, in daily frequency, these reactions are not significant. However, with weekly data we found an anticipated reaction (one and three weeks before the movement) in the term structure in response to a change in the policy interest rate. Unfortunately the reaction has a “steepness effect” on the term structure, which may not support the expectations hypothesis of interest rates or may suggest a weak credibility and transparency of Banco de la República or both.
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Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.
Find related papers by JEL classification: E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy F31 - International Economics - - International Finance - - - Foreign Exchange