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Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo

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  • Luis Eduardo Arango

    ()

  • Andrés González

    ()

  • John Jairo León

    ()

  • Luis Fernando Melo

    ()

Abstract

Se analizan los efectos de los movimientos de las tasas de intervención del Banco de la República en la estructura a plazo. La evidencia sugiere que, en frecuencia diaria, las reacciones son imperceptibles. Sin embargo, con datos en frecuencia semanal, la evidencia muestra un efecto empinamiento de la curva de rendimientos cuando aumenta la tasa de subastas. Esto puede ser síntoma de que los agentes perciben un nivel importante de transparencia pero una baja credibilidad de la política monetaria. Esto es, que los agentes están esperando más variaciones de la tasa de intervención en el futuro. En cualquier frecuencia, diaria o semanal, y con las tasas spot se cumple la hipótesis de paridad descubierta de intereses con el mecanismo de expectativas seleccionado.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 424.

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Handle: RePEc:bdr:borrec:424

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Keywords: tasas de intervención; estructura a plazo de tasas de interés; hipótesis de paridad descubierta. Classification JEL:E43; E52; F31.;

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References

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  1. Carlos Andrés Amaya, 2006. "Interest Rate Setting and the Colombian Monetary Transmission Mechanism," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
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Cited by:
  1. Carlos Esteban Posada & Camilo Morales J., . "La inflación y la política monetaria colombianas del período 1996-2006: una interpretación," Borradores de Economia 465, Banco de la Republica de Colombia.

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