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¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?

Author

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  • Carlos David Ardila-Dueñas

    () (Banco de la República de Colombia)

  • Hernán Rincón-Castro

    () (Banco de la República de Colombia)

Abstract

La relación entre la deuda pública y las tasas de interés de mercado ha sido un tema de amplia discusión en la literatura internacional, por sus implicaciones sobre los mercados financieros, las decisiones de ahorro e inversión de los agentes económicos y el agregado de la economía. En este artículo se analiza cómo y qué tanto impacta la deuda del pública la pendiente o spread de la estructura a plazos de las tasas de interés en Colombia en el periodo 2003-2017. Para alcanzar su objetivo, primero se estima el spread a diferentes plazos, mediante un modelo de estado-espacio. Posteriormente, se determina el impacto de la deuda sobre aquel; utilizando modelos de series de tiempo univariados y multivariados. Por último, se realiza una descomposición histórica de choques del spread. Los principales resultados obtenidos muestran que la deuda pública tiene un efecto positivo sobre el spread, tanto la emitida a tasa fija como a tasa variable. Así mismo se encuentra que la emisión de deuda a tasa variable tiene un mayor efecto sobre el spread de las tasas de interés de corto plazo, mientras la de tasa fija, más sensible a las condiciones del mercado, tiene un mayor impacto sobre el spread de las tasas de interés de largo plazo. La implicación de política más importante es el llamado a la reducción del endeudamiento público, con el objetivo de aminorar su impacto no deseado sobre el mercado financiero y la actividad económica. **** ABSTRACT: The relationship between public debt and market interest rates has been a subject of wide discussion in the international literature, due to its implications for the financial markets, saving and investment decisions of economic agents and for the aggregate of the economy. This article analyzes how and how much public debt impacts the slope or spread of the term structure of interest rates in Colombia in the period 2003-2017. To reach its objective, the spread is estimated at different terms, using a state-space model. Subsequently, the impact of the debt on the spread is determined; using univariate and multivariate time series models. Finally, a historical decomposition of the spread shocks is carried out. The main results obtained show that the public debt has a positive effect on the spread, both debts issued at a fixed rate and at a variable rate. It is also found that the issuance of debt at a variable rate has a greater effect on the spread of the short-term interest rates, while the fixed-rate debt, which is more sensitive to market conditions, has a greater impact on the spread of long-term rates. The most important policy implication is the call for the reduction of public indebtedness, with the aim of reducing its undesired impact on the financial market and economic activity.

Suggested Citation

  • 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.
  • Handle: RePEc:bdr:borrec:1077
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    Keywords

    deuda pública; estructura a plazos de las tasas de interés; spread; filtro de kalman; VAR-X; descomposición histórica;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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