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Relación entre la Tasa de Intervención del Banco de la República y las Tasas del Mercado: Una Exploración Empírica

  • Juan Manuel Julio

    ()

En esta nota se reportan los resultados de un ánalisis empírico de la relación entre la tasa de intervención del Banco de la República con las tasas de interés del mercado. El objeto es comparar esta relación antes y despúes del abandono de la banda cambiaria en 1999. La base de datos analizada contiene información semanal a partir de enero de 1988 para las tasas de intervención (INT), interbancaria (TIB),DTF, preferencial (PRE), y ordinaria (ORD). Comparamos las varianzas de las variables durante los dos períodos y los resultados de análisis de cointegración, de impulso respuesta y descomposición de la varianza del error de pronóstico para las muestras antes y después del abandono de la banda. Encontramos que en primer sub período hay en general una mayor volatilidad de las tasas excepto para las tasa de créditos ordinarios. Sin embargo, en ambos periodos se presentan relaciones estables de largo plazo entre las distintas tasas. Finalmente, los análisis de impulso respuesta y de descomposición de la varianza del error de pronóstico muestran evidencia en favor de que después del abandono de la banda la relación es más fuerte.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 188.

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Handle: RePEc:bdr:borrec:188
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