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Efecto Fisher y modelo de corrección de errores en Colombia, 1991-2020

Author

Listed:
  • Luis Eduardo Castellanos Rodríguez
  • Juan David Diaz Ipuz
  • Cristian Camilo Dueñas Ruiz
  • Andrés Felipe León Donato

Abstract

El presente ensayo analiza el efecto Fisher en Colombia durante el período 1991-2020. Se hace uso de la tasa de interés de los depósitos a término fijo y la tasa de inflación en frecuencia mensual. Los resultados evidencian no estacionariedad en las variables y una relación de cointegración entre estas. Sin embargo, la transmisión de la inflación a la tasa de interés no es completa en el largo plazo, lo cual evidencia un efecto Fisher parcial. Finalmente, se realiza un modelo de corrección de errores para identificar la velocidad de ajuste entre el corto y el largo plazo. *** This essay analyzes the Fisher effect in Colombia during the period 1991-2020. We use the interest rate of fixed-term deposits and the inflation rate on a monthly basis. The variables are non-stationary and there is a cointegration relationship between them. However, the transmission of inflation to the interest rate is not complete in the long term, therefore there is only a partial Fisher effect. Finally, an error correction model is carried out to identify the speed of adjustment between the short and long term.

Suggested Citation

  • Luis Eduardo Castellanos Rodríguez & Juan David Diaz Ipuz & Cristian Camilo Dueñas Ruiz & Andrés Felipe León Donato, 2021. "Efecto Fisher y modelo de corrección de errores en Colombia, 1991-2020," Econógrafos, Escuela de Economía 19244, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:019244
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    File URL: http://fce.unal.edu.co/centro-editorial/docs/econografos-escuela-economia/165-efecto-fisher-y-modelo-de-correccion-de-errores-en-colombia-1991-2020
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    More about this item

    Keywords

    efecto Fisher; neutralidad del dinero; estacionariedad; cointegración; modelo de corrección de errores;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • 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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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