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La curva de rendimientos como predictor de expectativas macroeconómicas

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  • Juan Camilo Rojas

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    Abstract

    La búsqueda de información basada en las diferentes herramientas que el mercado hadesarrollado, ha convertido a la curva de rendimientos en una de las más utilizadas.Diferentes autores a nivel internacional se han preocupado por investigar y extraerinformación, teniendo en cuenta la formación de expectativas de los agentes sobre lastasas de interés, el comportamiento de diferentes variables macroeconómicas como elproducto y la inflación. La evidencia encontrada ha sido amplia, aunque no siempre enla misma vía. A nivel nacional, pocos autores se han preocupado por indagar en elcomportamiento de la curva de rendimientos como posible herramienta para predecirel comportamiento de variables macroeconómicas. Una posible explicación de estopodría estar en el hecho que las bases de datos de la curva de rendimientos son muyrecientes y la calidad de los datos no es la mejor, debido al reciente desarrollo de losmercados financieros en Colombia. Sin embargo, la evidencia que se ha obtenido deesos estudios es valiosa.***********************************************************************************************************The search of information based on different tools that the financial market havedeveloped, have converted to the term structure in one of the most used. Differentauthors around the world have tried to obtain information from the term structure toforecast the behavior of many macroeconomic variables like inflation and production.The evidence founded has been wide but opposed, in some cases. On the localliterature, few authors has been interesed on investigate the behavior of the termstructure like tool for forecast the evolution of local macroeconomic variables. Apossible explanation for this apathy can be the recent development of the financialmarket that do not make possible have long database with high data quality. Howeverthe evidence obtained on this works has been valuable.

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    Bibliographic Info

    Paper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 004361.

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    Length: 14
    Date of creation: 31 Aug 2007
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    Handle: RePEc:col:000091:004361

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    Keywords: Curva de rendimientos; inflación; Producto Nacional Bruto (PNB);

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