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

Author

Listed:
  • 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.

Suggested Citation

  • José Eduardo Gómez Gónzlaez & Jorge Mario Uribe Gil & Hernán Piñeros Gordo, 2009. "Determinantes de la Rentabilidad de los Bancos en Colombia: ¿Importa la Tasa de Cambio?," Borradores de Economia 5405, Banco de la Republica.
    • Handle: RePEc:col:000094:005405
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    More about this item

    Keywords

    rentabilidad bancaria; tasa de cambio; regulación bancaria; time series-cross section;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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