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Determinantes de la Rentabilidad de los Bancos en Colombia: ¿Importa la Tasa de Cambio?

Listed author(s):
  • José Eduardo Gómez Gónzalez

    ()

  • Jorge Marío Uribe Gil

    ()

  • Hernán Piñeros Gordo

    ()

En este artículo se analizan los principales determinantes de la rentabilidad de los bancos comerciales en Colombia durante el período comprendido entre enero de 2000 y mayo de 2007. Se estiman los efectos de los movimientos en la tasa de cambio peso dólar sobre dicha rentabilidad, tanto en un momento de tiempo, como en varios. El modelo estadístico planteado implica la utilización de la metodología de Series de Tiempo de Corte Transversal (Cross-Sectional Time-Series) robusta ante la autocorrelación y la heteroscedasticidad, frecuentes en este tipo de datos. Los resultados parecen indicar que los efectos acumulados de los movimientos en la tasa de cambio sobre el retorno de los activos bancarios son estadísticamente significativos, pero bastante reducidos.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 556.

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