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Evaluación de la transmisión de la tasa de interés de referencia a las tasas de interés del sistema financiero considerando las expectativas de los agentes

Listed author(s):
  • Deicy Cristiano-Botia

    ()

    (Banco de la República de Colombia)

  • Eliana González-Molano

    ()

    (Banco de la República de Colombia)

  • Carlos Huertas-Campos

    ()

    (Banco de la República de Colombia)

Registered author(s):

    Mediante técnicas econométricas se determina si las expectativas de la tasa de interés de política y los choques no anticipados de la misma afectan las tasas de interés de captación y crédito. Se encuentra evidencia empírica de que las sorpresas monetarias tienen poder explicativo en los movimientos de tasas de mercado para las captaciones y créditos comerciales. Así mismo, se encuentra que las entidades financieras tienen en cuenta las expectativas sobre la tasa de intervención para fijar su tasa de captación. Por otro lado, se encuentra que las entidades financieras se anticipan a los movimientos de tasa de política y modifican sus tasas de captación antes del anuncio del Banco Central, y que tanto el día del anuncio como posterior a este no se realizan ajustes significativos en las tasas de mercado. **** Alternative economic models are used to determine whether policy interest rate expectations and unanticipated changes in the reference interest rate affect saving and credit interest rates. We found empirical evidence that policy surprises have predict power over fixing passive and active interest rates. Similarly, results show that to fix their interest rate financial entities take into account their expectations about policy rate. On the other hand, we found evidence of changes in deposits rates in advance the announcement of the monetary authority and no significance change on the day of the announcement and the day after. Classification JEL: D84, E43, E52, E58

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    File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_988.pdf
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    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 988.

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    Length: 16
    Date of creation: Mar 2017
    Handle: RePEc:bdr:borrec:988
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