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Política monetaria y precio de activos: un análisis desde la tasa de interés para Colombia de 2003 a 2010

Author

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  • Edith Catalina Patino Martínez
  • Paula Almonacid Hurtado
  • Armando Lenin Támara Ayús

Abstract

El objetivo principal de este trabajo es analizar la incidencia de la política monetaria colombiana en los precios de los activos de renta fija para el período 2003 al 2010 y comprobar que la vía que ésta sigue se asemeja a lo que plantea la teoría tradicional tomando como referencia la teoría de expectativas puras. Con el objeto de analizar las relaciones de corto y largo plazo entre los TES y la política monetaria se desarrolla un modelo econométrico de vector de corrección de errores (VEC) tomando como variable explicada el retorno de bonos con plazo a 6 meses, 1, 5 y 25 anos y como variables explicativas la tasa interbancaria, la inflación y la tasa forward. Los principales resultados obtenidos indican que la política monetaria colombiana incide en los precios de estos activos principalmente a través de la tasa de política y de las expectativas de inflación y de tasa de interés.******The main purpose of this paper is to analyze the impact of the Colombian monetary policy on the price of fixed income securities for the 2003-2010 period. It also seeks to verify that the process of transmission is compatible with the arguments of the pure expectations theory. In order to analyze the relationship between the short and long term TES (the name for the financial securities issued by the Colombian government) and the monetary policy, we apply an econometric model of vector error correction (VEC) using as the dependent variable the return of bonds with maturity terms of either 6 months, and 1, 5 and 25 years; and as explanatory variables we propose the interbank rate, inflation rate and the forward rate. The main results indicate that the Colombian monetary policy affects the price of these assets primarily through its interest rate referential policy, as well as expected inflation and interest rates.

Suggested Citation

  • Edith Catalina Patino Martínez & Paula Almonacid Hurtado & Armando Lenin Támara Ayús, 2013. "Política monetaria y precio de activos: un análisis desde la tasa de interés para Colombia de 2003 a 2010," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 5(2), pages 57-69, December.
    • Handle: RePEc:col:000443:012125
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    References listed on IDEAS

    as
    1. Luis Eduardo Arango & Andrés González & John Jairo León & Luis Fernando Melo, 2006. "Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo," Borradores de Economia 424, Banco de la Republica de Colombia.
    2. Luis Eduardo Arango & Andrés González & Jhon Jairo León & Luis Fernando Melo, 2006. "Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo," Borradores de Economia 2425, Banco de la Republica.
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    Cited by:

    1. Rosalinda Arriaga Navarrete. & Miriam Sosa Castro. & Abigail Rodríguez Nava., 2020. "Impactos monetarios sobre la rentabilidad del mercado accionario en México: Un análisis de cambio de régimen Markoviano. (Monetary Impacts on the Mexican Stock Market Returns: A Markov Switching Appro," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 187-216, November.

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    More about this item

    Keywords

    Política monetaria; teoría de las expectativas puras; modelo de vector de corrección de errores.********Keywords: Monetary policy; Pure expectations theory; Vector Error Correction Model.;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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