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Hipótesis de Fisher y cambio de régimen en Colombia: 1990 - 2010


  • Madeleine Gil Ángel


  • Jacobo Campo Robledo


Resumen La mayor parte de la evidencia empírica sobre el Efecto de Fisher" ó "Hipótesis de Fisher", sostiene que la relación entre la tasa de inflación y la tasa de interés nominal debe ser igual a uno. Este documento analiza la relación entre la tasa de interés nominal y la tasa de inflación, para la economía de Colombia, durante el periodo comprendido entre 1990M1 - 2010M12. Se presenta evidencia empírica sobre la existencia de una relación de largo plazo positiva entre la tasa de interés nominal y la tasa de inflación para Colombia. Adicionalmente, se aplica una prueba de cointegración con cambio de régimen desarrollada por Gregory y Hansen (1996), la cual permite presentar evidencia estadística de la existencia de un cambio estructural en esta relación hacia finales de los años noventas. Abstract Most of the empirical evidence on the "Fisher Effect" or "Fisher hypothesis" holds that the relationship between inflation and nominal interest rate must be equal to one. This paper analyzes the relationship between the nominal interest rate and inflation rate, known as the ""Fisher Effect"" or ""Fisher hypothesis"" for the Colombian economy during the period 1990M1 - 2010M12. We present empirical evidence on the existence of a positive long-run relationship between the nominal interest rate and inflation rate in Colombia. Additionally, applies a cointegration test with regime change developed by Gregory y Hansen (1996), which allows present statistical evidence of the existence of a structural change in this relationship in the late nineties."

Suggested Citation

  • Madeleine Gil Ángel & Jacobo Campo Robledo, 2012. "Hipótesis de Fisher y cambio de régimen en Colombia: 1990 - 2010," DOCUMENTOS DE TRABAJO UCATOLICA 009817, UNIVERSIDAD CATOLICA DE COLOMBIA.
  • Handle: RePEc:col:000444:009817

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    Efecto Fisher; Cointegración; Cambio estructural; Colombia: Fisher effect; Cointegration; Structural Change; Colombia;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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