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Señales de política monetaria y movimientos en la estructura a plazo de la tasa de interés en Colombia

  • Freddy H. CASTRO

    ()

El documento evalúa el efecto del proceso de comunicación del Banco de laRepública (BR) sobre la estructura a plazo de las tasas de interés del mercadosecundario de deuda pública. Se encuentra, como resultado principal, que lacomunicación del BR es relevante en la explicación de los movimientos de lacurva de rendimientos en tramos cortos, mientras que las posibles sorpresascontenidas en la publicación del dato de crecimiento económico son relevantespara la explicación en tramos largos. La información entregada por el BR a losmercados le permite a estos últimos, generalmente, anticipar las acciones depolítica monetaria. Esta puede ser la razón por la cual, tanto el presente trabajocomo Arango et al. (2008) encuentran que los cambios de la tasa de intervencióndel emisor no son significativos en la explicación de los cambios en la curva derendimientos. Particularmente, se encuentra que los discursos en los que lasdirectivas del Banco revelan nueva información al mercado explican una parteimportante de estos cambios. En contraste, el comunicado de prensa mensual,las minutas y el Informe Sobre Inflación, por sí solos, no son significativos paraese fin.

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Paper provided by DEPARTAMENTO NACIONAL DE PLANEACIÓN in its series ARCHIVOS DE ECONOMÍA with number 009908.

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Length: 70
Date of creation: 03 Jun 2012
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Handle: RePEc:col:000118:009908
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