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Evidencia de contagio en la volatilidad de la tasa de interés en Colombia

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  • Mónica Lylián Parra T.

Abstract

“Las recientes crisis financieras en Asia han llamado la atención de un gran número de investigadores, analistas e inversionistas no sólo por sus severos efectos y su inesperado acontecimiento sino por su capacidad de difundirse casi instantáneamente a otros países. Aunque en los últimos anos la literatura económica ha avanzado sustancialmente en este tema aún está abierto el debate en cuanto al concepto y la existencia del contagio de las crisis, los canales por los cuales éste ocurre y las diversas formas de medirlo. Este trabajo define contagio como el aumento en la volatilidad de la tasa de interés causado por crisis en otros países. El objetivo principal de este trabajo es evidenciar el impacto de las crisis financieras de Asia en la volatilidad de la tasa de interés en Colombia en los últimos anos. Se pretende también investigar si los choques en la tasa de interés colombiana son persistentes o desaparecen rápidamente en el tiempo. El trabajo consta de seis partes, 1. La introducción. 2. Una síntesis de las definiciones que se le han dado al término contagio en la literatura internacional y los diferentes tipos de metodología utilizados. 3. analiza el comportamiento de la volatilidad de las series en el período estudiado y se expone brevemente la teoría GARCH. 4. se explica la construcción de los indicadores de volatilidad, los modelos utilizados en la estimación de la varianza condicional de la tasa de interés colombiana y los resultados obtenidos. 5. Se exponen los diversos mecanismos de transmisión de las crisis propuestos en la literatura internacional. 6. Conclusiones del trabajo.

Suggested Citation

  • Mónica Lylián Parra T., 2001. "Evidencia de contagio en la volatilidad de la tasa de interés en Colombia," Coyuntura Económica, Fedesarrollo, June.
  • Handle: RePEc:col:000438:013456
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    References listed on IDEAS

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    1. César Augusto Corredor Velandia & Stefano Vega Mazzeo, 2012. "Análisis de corto plazo del contagio de variables y noticias financieras en estados unidos y Colombia," Revista de Economía del Caribe 10281, Universidad del Norte.

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    More about this item

    Keywords

    Informes de Investigación; Tasa de Interés; Tasa de Interés Nominal; Balanza de Pagos; Diferenciales; Importaciones; Exportaciones;
    All these keywords.

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • P33 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - International Trade, Finance, Investment, Relations, and Aid
    • F10 - International Economics - - Trade - - - General

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