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Determinantes de la Rentabilidad de los Bancos en Colombia: ¿Importa la Tasa de Cambio?

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  • José Eduardo Gómez Gónzlaez

    ()

  • Jorge Mario Uribe Gil

    ()

  • Hernán Piñeros Gordo

    ()

Abstract

En este artículo se analizan los principales determinantes de la rentabilidad de los bancoscomerciales en Colombia durante el período comprendido entre enero de 2000 y mayo de 2007. Seestiman los efectos de los movimientos en la tasa de cambio peso dólar sobre dicha rentabilidad,tanto en un momento de tiempo, como en varios. El modelo estadístico planteado implica lautilización de la metodología de Series de Tiempo de Corte Transversal (Cross-Sectional Time-Series) robusta ante la autocorrelación y la heteroscedasticidad, frecuentes en este tipo de datos. Losresultados parecen indicar que los efectos acumulados de los movimientos en la tasa de cambiosobre el retorno de los activos bancarios son estadísticamente significativos, pero bastantereducidos.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 005405.

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Length: 21
Date of creation: 26 Mar 2009
Date of revision:
Handle: RePEc:col:000094:005405

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Keywords: rentabilidad bancaria; tasa de cambio; regulación bancaria; time series-cross section;

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