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El tramo corto de la estructura a plazo como predictor de expectativas de la actividad económica en Colombia

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  • Luis Eduardo Arango

    ()

  • Luz Adriana Flórez

    ()

  • Angélica María Arosemena

    ()

Abstract

En relación con los síntomas que probablemente tendrá la actividad económica en el futuro, un aumento en el spread de tasas de interés reduce la probabilidad de tener momentos difíciles mas adelante. Este resultado se cumple para un período 12 y 24 meses adelante y se ajusta al modelo teórico utilizado. La inclusión de variables monetarias en el modelo empírico no afecta la significancia estadística ni los signos del spread ni del diferencial de inflación. Sin embargo, el crecimiento monetario también contiene información sobre el ambiente económico futuro.

Suggested Citation

  • Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, 2003. "El tramo corto de la estructura a plazo como predictor de expectativas de la actividad económica en Colombia," BORRADORES DE ECONOMIA 002559, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:002559
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    References listed on IDEAS

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    Cited by:

    1. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
    2. Diego Agudelo Rueda & Mónica Arango Arango, 2008. "La curva de rendimientos a plazo y las expectativas de tasas de interés en el mercado de renta fija en Colombia, 2002-2007," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, June.
    3. Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas de actividad económica en Colombia y estructura a plazo: un poco más de evidencia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(47), pages 126-160, Diciembre.
    4. Idrovo Aguirre, Byron, 2006. "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
      [An estimation of short and long term rates spread: a leading indicator]
      ," MPRA Paper 11116, University Library of Munich, Germany, revised 12 Mar 2007.
    5. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers 2008-15, Banco de México.

    More about this item

    Keywords

    Estructura a plazo;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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