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Efecto Fisher y modelo de corrección de errores en Colombia, 1991-2020
[Fisher effect and error correction model in colombia,1991-2020]

Author

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

Abstract

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 [Fisher effect and error correction model in colombia,1991-2020]," Econógrafos, Escuela de Economía 022665, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:022665
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    File URL: https://fce.unal.edu.co/media/files/CentroEditorial/documentos/econografos/EE/econografos-EE-165.pdf
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    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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