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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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Abstract

En este trabajo se utilizan tasas marginales de interés,tasas de cambio forwards y encuestas sobreexpectativas de devaluación con el fin de verificarlas hipótesis de las paridades cubierta (PC) y no cubierta(PNC) de las tasas de interés en Colombiaen el período 2000-2007. Se encuentra evidencia decumplimiento de PC para períodos mayores o igualesa un día y de PNC en todos los plazos cuando semiden correctamente las variables. La anomalía"que se detecta en algunos casos desaparece cuandose elimina el supuesto de expectativas racionales, ycuando se incorpora adecuadamente el riesgo país."

Suggested Citation

  • Juan José Echavarría & Diego V�squez, 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 República.
    • Handle: RePEc:col:000107:005291
    DOI: 10.32468/Espe.5605
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    Cited by:

    1. 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.
    2. Gloria Alonso Masmela & Juan Nic�las Hern�ndez & Jos� David Pulido & Martha Luc�a Villa, 2008. "Medidas Alternativas De Tasa De Cambio Real Para Colombia," Borradores de Economia 4679, Banco de la Republica.
    3. 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.
    4. 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.
    5. Vargas-Herrera, Hernando & Villamizar-Villegas, Mauricio, 2024. "Effectiveness of FX intervention and the flimsiness of exchange rate expectations," Journal of Financial Stability, Elsevier, vol. 74(C).
    6. Rafael Puyana Mart√≠nez-Villalba, 2011. "El efecto Balassa-Samuelson en Colombia," Documentos CEDE 7959, Universidad de los Andes, Facultad de Economía, CEDE.
    7. Diego Alejandro Mart�nez Cruz & Jos� Fernando Moreno Guti�rrez & Juan Sebasti�n Rojas Moreno, 2015. "Evoluci�n de la relaci�n entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
    8. Juan Jos� Echavarr�a & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia�s exchange rate survey," Borradores de Economia 9999, Banco de la Republica.
    9. 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.
    10. Martha Misas A & Juan Jos� Echavarr�a S & Enrique L�pez E, 2010. "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-37.
    11. 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.
    12. Rafael Puyana, 2010. "El efecto Balassa-Samuelson en Colombia," Borradores de Economia 7801, Banco de la Republica.

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    Keywords

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    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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