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Expectativas, Tasa de Inter�s y Tasa de Cambio. Paridad Cubierta y no Cubierta en Colombia 2000-2007

Author

Listed:
  • Juan Jose Echavarr�a
  • Diego V�squez
  • Mauricio Villamizar

Abstract

En este trabajo se utilizan tasas marginales de inter�s, tasas de cambio forwards y encuestassobre expectativas de devaluaci�n con el fin de verificar las hip�tesis de paridad cubierta(PC) y no cubierta (PNC) de las tasas de inter�s en Colombia en el per�odo 2000-2007. Seencuentra evidencia de cumplimiento de PC para per�odos de maduraci�n de 1 a�o (y sesugiere que tambi�n podr�a ser v�lida para per�odos menores) y evidencia de PNC paraper�odos superiores a 1 semestre. La anomal�a" que se detecta para algunos per�odos demaduraci�n al utilizar el supuesto de expectativas racionales y el diferencial de tasas deinter�s como variable independiente parece ser el resultado de variables omitidas o malmedidas."

Suggested Citation

  • Juan Jose Echavarr�a & Diego V�squez & Mauricio Villamizar, 2008. "Expectativas, Tasa de Inter�s y Tasa de Cambio. Paridad Cubierta y no Cubierta en Colombia 2000-2007," Borradores de Economia 4514, Banco de la Republica.
    • Handle: RePEc:col:000094:004514
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    Citations

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    Cited by:

    1. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    2. Vargas-Herrera, Hernando & Villamizar-Villegas, Mauricio, 2024. "Effectiveness of FX intervention and the flimsiness of exchange rate expectations," Journal of Financial Stability, Elsevier, vol. 74(C).
    3. Fredy Gamboa-Estrada, 2016. "Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia," Borradores de Economia 957, Banco de la Republica de Colombia.
    4. Juan Jos� Echavarr�a & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia�s exchange rate survey," Borradores de Economia 9999, Banco de la Republica.
    5. Juan Jos� Echavarr�a & Diego V�squez & Mauricio Villamizar, 2009. "Impacto de las Intervenciones Cambiarias sobre el Nivel y la Volatilidad de la Tasa de Cambio en Colombia," Borradores de Economia 5509, Banco de la Republica.
    6. Gloria Alonso Masmela & Juan Nic�las Hern�ndez & Jos� David Pulido & Martha Luc�a Villa, 2008. "Medidas Alternativas De Tasa De Cambio Real Para Colombia," Borradores de Economia 4679, Banco de la Republica.
    7. Juan José Echavarría & Diego V�squez & Mauricio Villamizar, 2010. "Impacto de las intervenciones cambiarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 28(62), pages 12-69.
    8. Martha Misas A & Juan Jos� Echavarr�a S & Enrique L�pez E, 2010. "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-37.
    9. Perez-Reyna, David & Villamizar-Villegas, Mauricio, 2019. "Exchange rate effects of financial regulations," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 228-245.
    10. Juan José Echavarría & Mauricio Villamizar & Diego Vásquez, 2010. "Impacto de las intervenciones cambiarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(62), pages 12-69, June.
    11. Sebastian Gomez-Cardona, 2014. "Monetary Policy and Exchange Rate in a Structural VAR for a Small Open Economy," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.

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    Keywords

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    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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