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Transmisión de tasas de interés bajo el esquema de metas de inflación: evidencia para Colombia

  • Oscar Becerra


  • Luis Fernando Melo


Este documento busca describir la dinámica de la transmisión de las medidasde política monetaria implementadas por el Banco de la República hacia lasdemás tasas de interés, con el fin de identificar la efectividad y el rezago quetienen las medidas de política monetaria. A partir de un modelo teórico dondese plantean las principales relaciones entre las tasas de interés a las cualescaptan y ofrecen recursos los bancos comerciales, sumadas con algunasconsideraciones relacionadas con el esquema de metas de inflación, se planteaun modelo VECX-MGARCH, el cual no sólo permite analizar las interaccionesentre los niveles de las tasas de interés, sino que, además, modela lasrelaciones entre las volatilidades de las variables endógenas del modelo.En general, los resultados sugieren que la dinámica que exhibe el esquema detransmisión de política monetaria a través de las tasas de interés opera deacuerdo a lo esperado según el esquema de metas de inflación. En efecto, elmodelo VECX-MGARCH respalda las implicaciones del modelo teórico y,adicionalmente, los análisis derivados de las funciones de impulso respuesta(en media y varianza) sugieren que el efecto de un choque monetario sobre lastasas de interés siguen de cerca los objetivos planteados por el banco central,tanto en signo como en magnitud.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004731.

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Length: 28
Date of creation: 19 Jun 2008
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Handle: RePEc:col:000094:004731
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  18. Rocío Betancourt & Hernando Vargas & Norberto Rodríguez., 2008. "Interest Rate Pass-Through in Colombia: a Micro-Banking Perspective," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(131), pages 29-58.
  19. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
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  23. Bredin, Don & Fitzpatrick, Trevor & O'Reilly, Gerard, 2001. "Retail Interest Rate Pass-Through: The Irish Experience," Research Technical Papers 6/RT/01, Central Bank of Ireland.
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