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Cambios de las tasas de política, paridad cubierta de intereses y estructura a plazo

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Author Info

  • Luis Eduardo Arango

    ()

  • Daniel Eduardo Velandia

    ()

Abstract

Se utiliza información de los mercados de Estados Unidos e Inglaterra para hacerestimaciones actuales de la capacidad que tienen la Reserva Federal y el Banco deInglaterra de afectar las tasas de interés del mercado. Las estimaciones muestran quela reacciones son mucho menores que las originales de Cook y Hahn (1989). Cuandodicha ecuación se modifica para considerar la paridad cubierta de intereses severifica de un lado que esta se cumple y que las autoridades monetarias logranafectar las tasas de interés del mercado. Se encuentra evidencia del cumplimiento dela hipótesis de expectativas de tasas de interés.

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File URL: http://www.banrep.gov.co/docum/ftp/borra503.pdf
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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004589.

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Length: 24
Date of creation: 02 Apr 2008
Date of revision:
Handle: RePEc:col:000094:004589

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Keywords: tasa de política; estructura a plazo de tasas de interés; hipótesis de paridad cubierta; transparencia; credibilidad.;

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