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Transmisión de tasas de interés bajo el esquema de metas de inflación: evidencia para Colombia

  • Oscar Becerra

    ()

  • Luis Fernando Melo

    ()

Este documento busca describir la dinámica de la transmisión de las medidas de política monetaria implementadas por el Banco de la República hacia las demás tasas de interés, con el fin de identificar la efectividad y el rezago que tienen las medidas de política monetaria. A partir de un modelo teórico donde se plantean las principales relaciones entre las tasas de interés a las cuales captan y ofrecen recursos los bancos comerciales, sumadas con algunas consideraciones relacionadas con el esquema de metas de inflación, se plantea un modelo VECX-MGARCH, el cual no sólo permite analizar las interacciones entre los niveles de las tasas de interés, sino que, además, modela las relaciones entre las volatilidades de las variables endógenas del modelo. En general, los resultados sugieren que la dinámica que exhibe el esquema de transmisión de política monetaria a través de las tasas de interés opera de acuerdo a lo esperado según el esquema de metas de inflación. En efecto, el modelo VECX-MGARCH respalda las implicaciones del modelo teórico y, adicionalmente, los análisis derivados de las funciones de impulso respuesta (en media y varianza) sugieren que el efecto de un choque monetario sobre las tasas de interés siguen de cerca los objetivos planteados por el banco central, tanto en signo como en magnitud.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 519.

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