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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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    References listed on IDEAS
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    1. 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.
    2. Valderrama, Maria Teresa, 2001. "Credit channel and investment behaviour in Austria: a micro-econometric approach," Working Paper Series 0108, European Central Bank.
    3. 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.
    4. Gaiotti, Eugenio & Generale, Andrea, 2001. "Does monetary policy have asymmetric effects? A look at the investment decisions of Italian firms," Working Paper Series 0110, European Central Bank.
    5. 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.
    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, January.
    7. Gertler, M. & Gilchrist, S., 1993. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," Working Papers 93-02, C.V. Starr Center for Applied Economics, New York University.
    8. Butzen, Paul & Fuss, Catherine & Vermeulen, Philip, 2001. "The interest rate and credit channels in Belgium: An investigation with micro-level firm data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A3-1, International Conferences on Panel Data.
    9. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
    10. 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.
    11. 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, pages -.
    12. 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.
    13. Steve Bond & Julie Elston & Jacques Mairesse & Benoit Mulkay, 1997. "Financial factors and investment in Belgium, France, German and the UK: A comparison using company panel data," IFS Working Papers W97/08, Institute for Fiscal Studies.
    14. Chirinko, Robert S, 1993. "Business Fixed Investment Spending: Modeling Strategies, Empirical Results, and Policy Implications," Journal of Economic Literature, American Economic Association, vol. 31(4), pages 1875-1911, December.
    15. 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.
    16. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, December.
    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.
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