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Mecanismo De Cobertura Para El Riesgo De Tasa De Interés Real De Los Bancos Hipotecarios Colombianos

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  • Diego M. Vásquez

    ()

Abstract

Se presenta el diseño de un mecanismo de cobertura para el riesgo de tasa de interés real que afrontan en Colombia los Bancos especializados en crédito hipotecario, es decir el riesgo de que la diferencia multiplicativa entre la tasa de interés nominal de captación a corto plazo (DTF) y la variación de la UVR menos el equivalente de largo plazo de dicha diferencia sea mayor que cero. Por medio de dos metodologías diferentes se llega a una estimación de la tasa de interés real de largo plazo a partir de la cual se construyen tres alternativas de funcionamiento del mecanismo. La primera es una operación tipo SWAP en la que se anula el valor de los aportes de los participantes, la segunda alternativa contempla la distribución de una parte de los ingresos iniciales del mecanismo entre las entidades y la tercera constituye un sistema de franjas de tasa de interés real. Finalmente, se presentan los resultados de la evaluación del desempeño de las tres alternativas utilizando datos de tasa de interés real observados entre enero de 1984 y agosto de 2002.

Suggested Citation

  • Diego M. Vásquez, 2003. "Mecanismo De Cobertura Para El Riesgo De Tasa De Interés Real De Los Bancos Hipotecarios Colombianos," BORRADORES DE ECONOMIA 003189, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:003189
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    References listed on IDEAS

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    1. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
    2. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    3. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Franz Hamann & Julián Pérez & Paulina Restrepo, 2005. "Sobre los efectos macroeconómicos de la composición de la deuda pública en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, November.
    2. Luis Eduardo Arango & Wilmar Cabrera & Esteban Gómez & Juan Carlos Mendoza, 2013. "Tasa de interés de largo plazo, interés técnico y pasivo pensional," Borradores de Economia 796, Banco de la Republica de Colombia.
    3. Franz Hamann Salcedo & Juan Manuel Julio & Paulina Restrepo, 2004. "Inflation Targeting in a Samll Open Economy: The Colombian Case," Borradores de Economia 308, Banco de la Republica de Colombia.

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