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

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  • Freddy H. CASTRO

Abstract

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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  • Freddy H. CASTRO, 2012. "Senales de política monetaria y movimientos en la estructura a plazo de la tasa de interés en Colombia," Archivos de Economía 9908, Departamento Nacional de Planeación.
    • Handle: RePEc:col:000118:009908
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    Cited by:

    1. Luis Fernando Melo-Velandia & Juan J. Ospina-Tejeiro & Julian A. Parra-Polania, 2020. "Effects of Banco de la Republica’s Communication on the Yield Curve," Borradores de Economia 1137, Banco de la Republica de Colombia.
    2. Luis E. Arango & Javier Pantoja & Carlos Velásquez, 2017. "Effects of the central bank’s communications in Colombia. A content analysis," Borradores de Economia 1024, Banco de la Republica de Colombia.

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    Keywords

    comunicación en banca central; anuncios macroeconómicos; estructura a plazo de las tasas de interés.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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