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Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo

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Author Info

  • Luis Eduardo Arango

    ()

  • Andrés González

    ()

  • Jhon Jairo León

    ()

  • Luis Fernando Melo

    ()

Abstract

Se analizan los efectos de los movimientos de las tasas de intervención del Banco de la República en la estructura a plazo. La evidencia sugiere que, en frecuencia diaria, las reacciones son imperceptibles. Sin embargo, con datos en frecuencia semanal, la evidencia muestra un efecto empinamiento" de la curva de rendimientos cuando aumenta la tasa de subastas. Esto puede ser síntoma de que los agentes perciben un nivel importante de transparencia pero una baja credibilidad de la política monetaria. Esto es, que los agentes están esperando más variaciones de la tasa de intervención en el futuro. En cualquier frecuencia, diaria o semanal, y con las tasas spot se cumple la hipótesis de paridad descubierta de intereses con el mecanismo de expectativas seleccionado."

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002425.

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Length: 30
Date of creation: 20 Dec 2006
Date of revision:
Handle: RePEc:col:000094:002425

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Keywords: Tasas de intervención; estructura a plazo de tasas de interés; hipótesis de paridad descubierta;

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  1. Rocio Betancourt & Hernando Vargas & Norberto Rodríguez, . "Interest Rate Pass-Through In Colombia: A Micro-Banking Perspective," Borradores de Economia 407, Banco de la Republica de Colombia.
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Cited by:
  1. Carlos Esteban Posada & Camilo Morales J., 2007. "La inflación y la política monetaria colombianas del período 1996-2006: una interpretación," BORRADORES DE ECONOMIA 004291, BANCO DE LA REPÚBLICA.

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