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Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007

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."

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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

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

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Handle: RePEc:col:000107:005291
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  1. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  2. Nathan S. Balke & Mark E. Wohar, 1997. "Nonlinear dynamics and covered interest rate parity," Working Papers 9701, Federal Reserve Bank of Dallas.
  3. Backus, David K. & Kehoe, Patrick J., 1989. "On the denomination of government debt : A critique of the portfolio balance approach," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 359-376, May.
  4. Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio Vásquez, 2003. "Estimación de la estructura a plazo de las tasas de interés en Colombia," COYUNTURA ECONÓMICA, FEDESARROLLO, March.
  5. Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers 2169, C.E.P.R. Discussion Papers.
  6. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-59, Nov.-Dec..
  7. Allen, Helen & Taylor, Mark P, 1990. "Charts, Noise and Fundamentals in the London Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 100(400), pages 49-59, Supplemen.
  8. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
  9. Alexius, Annika, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 505-17, August.
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