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Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo

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  • Luis Eduardo Arango

    ()

  • Andrés González

    ()

  • John Jairo León

    ()

  • Luis Fernando Melo

    ()

Abstract

Se analizan los efectos de los movimientos de las tasas de intervención del Banco de la República en la estructura a plazo. La evidencia sugiere que, en frecuencia diaria, las reacciones son imperceptibles. Sin embargo, con datos en frecuencia semanal, la evidencia muestra un efecto empinamiento de la curva de rendimientos cuando aumenta la tasa de subastas. Esto puede ser síntoma de que los agentes perciben un nivel importante de transparencia pero una baja credibilidad de la política monetaria. Esto es, que los agentes están esperando más variaciones de la tasa de intervención en el futuro. En cualquier frecuencia, diaria o semanal, y con las tasas spot se cumple la hipótesis de paridad descubierta de intereses con el mecanismo de expectativas seleccionado.

Suggested Citation

  • 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.
  • Handle: RePEc:bdr:borrec:424
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    References listed on IDEAS

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    Cited by:

    1. Carlos Esteban Posada & Camilo Morales J., 2007. "La inflación y la política monetaria colombianas del período 1996-2006: una interpretación," BORRADORES DE ECONOMIA 004291, BANCO DE LA REPÚBLICA.
    2. Remberto Rhenals & Juan Pablo Saldarriaga, 2008. "An Optimal Taylor Rule for Colombia, 1991-2006," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 69, pages 9-39, Julio-Dic.
    3. Hernando Vargas & Carlos Varela, 2008. "Capital flows and financial assets in Colombia: recent behaviour, consequences and challenges for the central bank," BIS Papers chapters,in: Bank for International Settlements (ed.), Financial globalisation and emerging market capital flows, volume 44, pages 153-184 Bank for International Settlements.
    4. Jorge Enrique Restrepo, 1998. "Reglas Monetarias En Una Economía Pequeña Y Abierta," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 17(33), pages 61-84, July.
    5. Rhenals M., Remberto & Saldarriaga, Juan Pablo, 2008. "Una regla de Taylor óptima para Colombia, 1991-2006," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, November.
    6. Edith Catalina Patiño 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 POLÍTICA ECONÓMICA, UNIVERSIDAD CATOLICA DE COLOMBIA, vol. 5(2), pages 57-69, December.

    More about this item

    Keywords

    tasas de intervención; estructura a plazo de tasas de interés; hipótesis de paridad descubierta. Classification JEL:E43; E52; F31.;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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