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Determinantes de la Rentabilidad de los Bancos en Colombia: ¿Importa la Tasa de Cambio?

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Author Info
José Eduardo Gómez Gónzalez ()
Jorge Marío Uribe Gil ()
Hernán Piñeros Gordo ()

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Abstract

En este artículo se analizan los principales determinantes de la rentabilidad de los bancos comerciales en Colombia durante el período comprendido entre enero de 2000 y mayo de 2007. Se estiman los efectos de los movimientos en la tasa de cambio peso dólar sobre dicha rentabilidad, tanto en un momento de tiempo, como en varios. El modelo estadístico planteado implica la utilización de la metodología de Series de Tiempo de Corte Transversal (Cross-Sectional Time-Series) robusta ante la autocorrelación y la heteroscedasticidad, frecuentes en este tipo de datos. Los resultados parecen indicar que los efectos acumulados de los movimientos en la tasa de cambio sobre el retorno de los activos bancarios son estadísticamente significativos, pero bastante reducidos.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 556.

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Handle: RePEc:bdr:borrec:556

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Related research
Keywords: Rentabilidad bancaria; tasa de cambio; regulación bancaria; time series-cross section. Classification JEL:F31; G18; G20; G21.;

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  4. Buch, Claudia M. & Golder, Stefan M., 2001. "Foreign versus domestic banks in Germany and the US: a tale of two markets?," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 341-361, December. [Downloadable!] (restricted)
  5. Altunbas, Yener & Liu, Ming-Hau & Molyneux, Philip & Seth, Rama, 2000. "Efficiency and risk in Japanese banking," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1605-1628, October. [Downloadable!] (restricted)
  6. Gilbert, R Alton, 1984. "Bank Market Structure and Competition: A Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 617-44, November. [Downloadable!] (restricted)
  7. Choi, Jongmoo Jay & Elyasiani, Elyas & Kopecky, Kenneth J., 1992. "The sensitivity of bank stock returns to market, interest and exchange rate risks," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 983-1004, September. [Downloadable!] (restricted)
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