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Mecanismo de transmisión de las tasas de interés en Colombia (2001-2007)

  • Carlos Andrés Cano Gamboa


  • Marcela Orozco Chávez


  • Luis Alfonso Sánchez Betancur


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    A partir de un modelo de cointegración se intenta establecer una relación de causalidad entre la tasa de referencia (subasta de expansión), la tasa interbancaria y la tasa de interés de los CDT´s a 90 días (con frecuencia diaria). La estimación se realiza a través de modelos GARCH y sus variaciones, buscandoespecificar la varianza condicional que no es constante en el tiempo y que se refleja en las concentraciones de volatilidades. De igual manera, se pretende determinar el impacto que produce sobre dichas tasas, las variables fiscales gasto público y crédito interno neto, a través de un modelo de Mínimos Cuadrados Ordinarios.

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    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2008)
    Issue (Month): (July)

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    Handle: RePEc:col:000093:004842
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