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Estructura a plazo, hipótesis de expectativas y paridad descubierta de intereses en Colombia

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  • Juan Camilo Rojas

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    Abstract

    El desarrollo del mercado financiero en Colombia, ha hecho que la integración con losmerados financieros internacionales sea cada vez más evidente. Es por esto que el estudiodel grado de relación de nuestras tasas de interés con las tasas de interés de las tasasinternacionales, cobra relevancia. Este estudio, busca evidencia sobre el cumplimiento de lahipótesis de paridad descubierta de intereses y la hipótesis de expectativas racionales, através del uso de las curvas cero cupón de Colombia y Estados Unidos, siguiendo lametodología derivada del estudio de Bekaert (2002). Se encuentra que el cumplimiento deambas hipótesis, simultáneamente, no es un hecho común entre los diferenciales de tasas deColombia y Estados Unidos. Además, en algunos casos, se encuentra que las hipótesis nose cumplen entre las tasas de interés de la misma nacionalidad.***In recent years, the development of the Colombian financial markets have done that theintegration with the international markets had been evident. For this reason, the researchabout the relation level between different interest rates is outstanding. This paper, try tofind evidence about the fulfillment of the uncovered interest rate parity (UIP) andexpectations hypothesis of the term structure of interest rates (EHTS) through the use ofzero-coupon yield curve for Colombia and United States, follow the methodology used forBekaert (2002). The research concludes that the fulfillment of EHTS and UIP hypothesissimultaneously is difficult even between rates of the same nationality.

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    Bibliographic Info

    Paper provided by UNIVERSIDAD DEL ROSARIO in its series DOCUMENTOS DE TRABAJO with number 004893.

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    Length: 31
    Date of creation: 20 Jul 2008
    Date of revision:
    Handle: RePEc:col:000092:004893

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    Related research

    Keywords: Curva de rendimientos cero cupón; tasas de interés; diferenciales; Hipótesis de paridad descubierta; Hipótesis de expectativas racionales;

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    Cited by:
    1. Karim Parra, 2010. "Factores determinantes del margen entre la deuda," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.

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