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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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  • Juan José Echavarría
  • Diego Vásquez
  • Mauricio Villamizar

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 las paridades 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 mayores o iguales a un día y de PNC en todos los plazos cuando se miden correctamente las variables. La “anomalía” que se detecta en algunos casos desaparece cuando se elimina el supuesto de expectativas racionales, y cuando se incorpora adecuadamente el riesgo país.

Suggested Citation

  • Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 150-203, June.
  • Handle: RePEc:bdr:ensayo:v:26:y:2008:i:56:p:150-203
    DOI: 10.32468/Espe.5605
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    References listed on IDEAS

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    Cited by:

    1. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    2. Gloria Alonso Masmela & Juan Nicólas Hernández & José David Pulido & Martha Lucía Villa, 2008. "Medidas Alternativas De Tasa De Cambio Real Para Colombia," Borradores de Economia 4679, Banco de la Republica.
    3. Perez-Reyna, David & Villamizar-Villegas, Mauricio, 2019. "Exchange rate effects of financial regulations," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 228-245.
    4. Fredy Gamboa-Estrada, 2016. "Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia," Borradores de Economia 957, Banco de la Republica de Colombia.
    5. Juan José Echavarría & Mauricio Villamizar & Diego Vásquez, 2010. "Impacto de las intervenciones cambiarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(62), pages 12-69, June.
    6. Juan José Echavarría S. & Enrique López E. & Martha Misas A., 2009. "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de VAR estructural," Borradores de Economia 580, Banco de la Republica de Colombia.
    7. Rafael Puyana, 2010. "El efecto Balassa-Samuelson en Colombia," Borradores de Economia 7801, Banco de la Republica.
    8. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
    9. Rafael Puyana Martínez-Villalba, 2011. "El efecto Balassa-Samuelson en Colombia," Documentos CEDE 7959, Universidad de los Andes, Facultad de Economía, CEDE.
    10. Juan José Echavarría & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia´s exchange rate survey," Borradores de Economia 9999, Banco de la Republica.
    11. Sebastian Gomez-Cardona, 2014. "Monetary Policy and Exchange Rate in a Structural VAR for a Small Open Economy," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, November.

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    More about this item

    Keywords

    paridad no cubierta; paridad cubierta; expectativas de devaluación; forwards de tasa de interés; forwards de tasa de cambio; tasa de cambio spot;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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