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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 Vásquez, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, June.
  • Handle: RePEc:col:000107:005291
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    Cited by:

    1. 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.
    2. Gloria Alonso Masmela & Juan Nicólas Hernández & José David Pulido & Martha Lucía Villa, 2008. "Medidas Alternativas De Tasa De Cambio Real Para Colombia," BORRADORES DE ECONOMIA 004679, BANCO DE LA REPÚBLICA.
    3. Juan José Echavarría S. & Enrique López E. & Martha Misas A., 2009. "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de VAR estructural," Borradores de Economia 580, Banco de la Republica de Colombia.
    4. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," BORRADORES DE ECONOMIA 014112, BANCO DE LA REPÚBLICA.
    5. David Perez-Reyna & Mauricio Villamizar-Villegas, 2018. "Breaking the trilemma: the effects of financial regulations on foreign assets," BIS Working Papers 718, Bank for International Settlements.
    6. 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 Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(62), pages 12-69, Junio.
    7. Rafael Puyana, 2010. "El efecto Balassa-Samuelson en Colombia," BORRADORES DE ECONOMIA 007801, BANCO DE LA REPÚBLICA.
    8. 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-CEDE, November.
    9. Rafael Puyana Martínez-Villalba, 2011. "El efecto Balassa-Samuelson en Colombia," DOCUMENTOS CEDE 007959, UNIVERSIDAD DE LOS ANDES-CEDE.

    More about this item

    Keywords

    paridad no cubierta; paridad cubierta; expectativas de devaluación; forwards detasa de interés; forwards de tasa de cambio; tasa decambio spot.;

    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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