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Expectativas, Tasa de Interés y Tasa de Cambio. Paridad Cubierta y no Cubierta en Colombia 2000- 2007

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  • Juan José Echavarría

    ()

  • Diego Vásquez

    ()

  • Mauricio Villamizar

    ()

Abstract

En este trabajo se utilizan tasas marginales de interés, tasas de cambio forwards y encuestas sobre expectativas de devaluación con el fin de verificar las hipótesis de paridad cubierta (PC) y no cubierta (PNC) de las tasas de interés en Colombia en el período 2000-2007. Se encuentra evidencia de cumplimiento de PC para períodos de maduración de 1 año (y se sugiere que también podría ser válida para períodos menores) y evidencia de PNC para períodos superiores a 1 semestre. La "anomalía" que se detecta para algunos períodos de maduración al utilizar el supuesto de expectativas racionales y el diferencial de tasas de interés como variable independiente parece ser el resultado de variables omitidas o mal medidas.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 486.

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Handle: RePEc:bdr:borrec:486

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Related research

Keywords: paridad no cubierta; paridad cubierta; expectativas de devaluación; forwards de tasa de interés; forwards de tasa de cambio; tasa de cambio spot. Classification JEL: E42; E43; E58.;

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Cited by:
  1. Juan José Echavarría & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia´s exchange rate survey," BORRADORES DE ECONOMIA 009999, BANCO DE LA REPÚBLICA.

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