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Transmisión de Tasas de Interés bajo el Esquema de Metas de Inflación: Evidencia para Colombia

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Author Info
Óscar Reinaldo Becerra
Luis Fernando Melo Velandia.

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Abstract

This paper describes the dynamics of the monetary policy decisions enacted by the Central Bank of Colombia and the transmission to other interest rates, in order to identify the effectiveness and backwardness of such monetary policy measures.
Based on a theoretical model, a VECX-MGARCH model is used to analyze the interactions among different interest rates and model the relationship between the volatilities of the endogenous variables of the model. Impulse-response functions suggest that the effect of a monetary shock on interest rates closely follow the objectives set by the Central Bank, both in sign and magnitude.

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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): 46 (2009)
Issue (Month): 133 ()
Pages: 107-134
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Handle: RePEc:ioe:cuadec:v:46:y:2009:i:133:p:107-134

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Related research
Keywords: Transmisión de Tasas de Interés; Esquema de Metas de Inflación; Modelos VECX-MGARCH; Funciones de Impulso Respuesta en Volatilidad (VIRF).;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

References listed on IDEAS
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  3. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February. [Downloadable!] (restricted)
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  5. Hulsewig, Oliver & Mayer, Eric & Wollmershauser, Timo, 2006. "Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2893-2910, October. [Downloadable!] (restricted)
    Other versions:
  6. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810. [Downloadable!]
    Other versions:
  7. Florin Ovidiu Bilbiie & André Meier & Gernot J. Müller, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 582, European Central Bank. [Downloadable!]
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  9. Weth, Mark A., 2002. "The pass-through from market interest rates to bank lending rates in Germany," Discussion Paper Series 1: Economic Studies 2002,11, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  11. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February. [Downloadable!]
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  12. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
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  18. Rocío Betancourt & Hernando Vargas & Norberto Rodríguez., 2008. "Interest Rate Pass-Through in Colombia: a Micro-Banking Perspective," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(131), pages 29-58. [Downloadable!]
    Other versions:
  19. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September. [Downloadable!] (restricted)
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  20. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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This page was last updated on 2009-12-9.

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