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

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  • Oscar Becerra

    ()

  • Luis Fernando Melo

    ()

Abstract

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.

Suggested Citation

  • Oscar Becerra & Luis Fernando Melo, 2008. "Transmisión de tasas de interés bajo el esquema de metas de inflación: evidencia para Colombia," BORRADORES DE ECONOMIA 004731, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:004731
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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. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(68), pages 14-71, Junio.
    3. Javier Gutiérrez Rueda & Andrés Murcia Pabón, 2015. "El papel de la estructura del sistema financiero en la transmisión de la política monetaria," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 33(76), pages 44-52.
    4. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," BORRADORES DE ECONOMIA 012333, BANCO DE LA REPÚBLICA.

    More about this item

    Keywords

    Transmisión de tasas de interés; esquema de metas deinflación; Modelos VECX-MGARCH; funciones de impulsorespuesta en volatilidad (VIRF);

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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