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

Listed author(s):
  • Carlos Andrés Cano Gamboa

    ()

  • Marcela Orozco Chávez

    ()

  • Luis Alfonso Sánchez Betancur

    ()

Registered author(s):

    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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    File URL: http://www.fce.unal.edu.co/cuadernos/48/7-Mecanismo.pdf
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    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

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

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    Handle: RePEc:col:000093:004842
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    4. Sergio Clavijo, 2002. "Política monetaria y cambiaria en Colombia: progresos y desafíos (1991-2002)," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 20(41-42), pages 87-142, Junio-Dic.
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    6. Stallings, Barbara & Studart, Rogério, 2006. "Financiamiento para el desarrollo: América Latina desde una perspectiva comparada," Libros de la CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 90 edited by Cepal, June.
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    8. Paxil Butzen & Catherine Fuss & Philip Vermeulen, 2002. "The interest rate and crédit channels in Belgium: an investigation with micro-level firm data," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 45(3), pages 5-36.
    9. Benavente, Jose Miguel & Johnson, Christian A. & Morande, Felipe G., 2003. "Debt composition and balance sheet effects of exchange rate depreciations: a firm-level analysis for Chile," Emerging Markets Review, Elsevier, vol. 4(4), pages 397-416, December.
    10. Agustinus Prasetyantoko, 2006. "Debt Composition and Balance Sheet Effect of Currency Crisis in Indonesia," Post-Print halshs-00134223, HAL.
    11. Stephen Bond & Julie Elston & Jacques Mairesse & Benoit Mulkay, 1997. "Financial Factors and Investment in Belgium, France, Germany and the UK:A Comparison Using Company Panel Data," NBER Working Papers 5900, National Bureau of Economic Research, Inc.
    12. Carlos A. Huertas & Munir Jalil & Sergio Olarte & José Vicente Romero, 2005. "Algunas Consideraciones Sobre El Canal Del Crédito Y La Transmisión De Tasas De Interés En Colombia," BORRADORES DE ECONOMIA 001962, BANCO DE LA REPÚBLICA.
    13. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
    14. John B. Taylor, 1995. "The Monetary Transmission Mechanism: An Empirical Framework," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 11-26, Fall.
    15. Stephen D. Oliner & Glenn D. Rudebusch, 1996. "Is there a broad credit channel for monetary policy?," Economic Review, Federal Reserve Bank of San Francisco, pages 3-13.
    16. Camila Aguilar, 2003. "El Impacto De Eventos Exógenos Y Sectoriales Sobre El Desempeño De Las Empresas: Un Análisis Para Colombia,1995-2001," DOCUMENTOS CEDE 002508, UNIVERSIDAD DE LOS ANDES-CEDE.
    17. Jesús Alonso Botero & Andrés Ramírez Hassan & Juan Fernando Palacio, 2007. "El costo de uso del capital y la inversión en Colombia 1990 - 2007," REVISTA ECOS DE ECONOMÍA, UNIVERSIDAD EAFIT, October.
    18. Chirinko, Robert S. & Fazzari, Steven M. & Meyer, Andrew P., 1999. "How responsive is business capital formation to its user cost?: An exploration with micro data," Journal of Public Economics, Elsevier, vol. 74(1), pages 53-80, October.
    19. Lawrence J. Christiano & Martin Eichenbaum, 1991. "Identification and the Liquidity Effect of a Monetary Policy Shock," NBER Working Papers 3920, National Bureau of Economic Research, Inc.
    20. Loveday L., James & Molina C., Oswaldo & Rivas-Llosa M., Roddy, 2004. "Mecanismos de transmisión de la política monetaria y el impacto de una devaluación en el nivel de las firmas," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 12.
    21. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
    22. Blanca Zuluaga, 2004. "La Política Monetaria: Teoria Y Caso Colombiano," APUNTES DE ECONOMÍA 003057, UNIVERSIDAD ICESI.
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