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Relación entre variables macro y la curva de rendimientos

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Author Info

  • Luis Fernando Melo Velandia

    ()

  • Giovanni Alfonso Castro Lancheros

    ()

Abstract

Este documento analiza la relación entre algunos fundamentales de la economía colombiana y la estructura a término de las tasas de interés para el periodo mensual comprendido entre enero de 2003 y diciembre de 2009. Para tal efecto, se caracteriza la curva de rendimientos a través de tres factores latentes utilizando una reparametrización de Nelson y Siegel (1987) y se estima un modelo VAR entre estos factores y las variables macroeconómicas consideradas. Este modelo es representado en notación de estado espacio y su estimación se realiza de forma conjunta utilizando el método de máxima verosimilitud. Los resultados indican que hay una relación bidireccional entre los factores de la curva de rendimientos y las variables macro incorporadas en el modelo. Sin embargo, se observa una causalidad (en el sentido de Granger) más fuerte de las variables macroeconómicas hacia la curva que en el sentido contrario.

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File URL: http://www.banrep.gov.co/docum/ftp/borra605.pdf
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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 007045.

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Length: 29
Date of creation: 30 May 2010
Date of revision:
Handle: RePEc:col:000094:007045

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