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Cambios de las tasas de política, paridad cubierta de intereses y estructura a plazo

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  • Luis Eduardo Arango

    ()

  • Daniel Eduardo Velandia

    ()

Abstract

Se utiliza información de los mercados de Estados Unidos e Inglaterra para hacer estimaciones actuales de la capacidad que tienen la Reserva Federal y el Banco de Inglaterra de afectar las tasas de interés del mercado. Las estimaciones muestran que la reacciones son mucho menores que las originales de Cook y Hahn (1989). Cuando dicha ecuación se modifica para considerar la paridad cubierta de intereses se verifica de un lado que esta se cumple y que las autoridades monetarias logran afectar las tasas de interés del mercado. Se encuentra evidencia del cumplimiento de la hipótesis de expectativas de tasas de interés.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 503.

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Handle: RePEc:bdr:borrec:503

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Related research

Keywords: Tasa de política; estructura a plazo de tasas de interés; hipótesis de paridad cubierta; transparencia; credibilidad. Classification JEL: E43; E52; F31.;

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