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Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia

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  • Arango, Luis Eduardo

    (Banco de la República)

  • Flórez, Luz Adriana

Abstract

Taking into account the risk premium within Fisher equation and the rapid decrease of inflation in Colombia at the end of last decade we test the hypothesis of linearity for the expected inflation differentials between 6 and 12 months ahead built by assuming four different expectation mechanisms about future inflation: rational, autoregressive, static and adaptive expectations. Two sets of information are used to check the hypothesis of the Fisher effect: the return index of the official bonds traded through the Colombian Stock Market, IRTES and the cero-coupon curves. The hypothesis of linearity is rejected when expectations are forward looking. With the IRTES curve the results are those predicted by the theory regarding sing and significance. The information content of the spread of interest rates is sensitive to information set used and to the expectation mechanism.// La consideración de la prima de riesgo de inflación en la ecuación de Fisher y la rápida caída en la inflación en Colombia entre los años 1999 y 2000 nos permiten examinar la hipótesis de linealidad para los diferenciales esperados de inflación entre 6 y 12 meses adelante construidos suponiendo cuatro mecanismos de formación de expectativas de la inflación futura: expectativas racionales, autorregresivas, estáticas y adaptativas. Se emplean dos conjuntos de información para examinar la hipótesis de la existencia del efecto Fisher: el índice de rentabilidad de los títulos de endeudamiento (TES) comerciados en la Bolsa de Valores de Colombia, IRTES, y la curva cupón cero. La hipótesis de linealidad se rechaza con el mecanismo de expectativas racionales. Siempre que se usa la IRTES los resultados son los que predice la teoría en signo y significación. El contenido informativo del spread de tasas de interés es sensible al conjunto de información utilizado y al mecanismo de expectativas empleado.

Suggested Citation

  • Arango, Luis Eduardo & Flórez, Luz Adriana, 2008. "Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(297), pages 183-210, enero-mar.
    • Handle: RePEc:elt:journl:v:75:y:2008:i:297:p:183-210
    DOI: http://dx.doi.org/10.20430/ete.v75i297.395
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    2. Robert W. Dimand, 1999. "Irving Fisher and the Fisher Relation: Setting the Record Straight," Canadian Journal of Economics, Canadian Economics Association, vol. 32(3), pages 744-750, May.
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    Cited by:

    1. Andrés Langebaek R. & Eliana González Molano, 2007. "Inflación Y Precios Relativos En Colombia," Borradores de Economia 459, Banco de la Republica de Colombia.
    2. Freddy H. CASTRO, 2012. "Senales de política monetaria y movimientos en la estructura a plazo de la tasa de interés en Colombia," Archivos de Economía 9908, Departamento Nacional de Planeación.
    3. Luis Eduardo Arango & Andrés González & John Jairo León & Luis Fernando Melo., 2008. "Cambios de la Tasa de Política y su Efecto en la Estructura a Plazo de Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 257-291.
    4. Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.

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    More about this item

    Keywords

    estructura a plazo de tasas de interés; ecuación de Fisher; prima de riesgo; regímenes inflacionarios; no linealidades;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • H60 - Public Economics - - National Budget, Deficit, and Debt - - - General

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