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Expectativas, Tasa de Interés y Tasa de Cambio. Paridad Cubierta y no Cubierta en Colombia 2000-2007

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Author Info
Juan Jose Echavarría ()
Diego Vásquez ()
Mauricio Villamizar ()

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Abstract

En este trabajo se utilizan tasas marginales de interés, tasas de cambio forwards y encuestas sobre expectativas de devaluación con el fin de verificar las hipótesis de paridad cubierta (PC) y no cubierta (PNC) de las tasas de interés en Colombia en el período 2000-2007. Se encuentra evidencia de cumplimiento de PC para períodos de maduración de 1 año (y se sugiere que también podría ser válida para períodos menores) y evidencia de PNC para períodos superiores a 1 semestre. La “anomalía” que se detecta para algunos períodos de maduración al utilizar el supuesto de expectativas racionales y el diferencial de tasas de interés como variable independiente parece ser el resultado de variables omitidas o mal medidas.

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Publisher Info
Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004514.

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Length: 45
Date of creation: 07 Feb 2008
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Handle: RePEc:col:000094:004514

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This page was last updated on 2009-12-1.

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