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Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo

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Author Info
Luis Eduardo Arango ()
Andrés González ()
John Jairo León ()
Luis Fernando Melo ()

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Abstract

Se analizan los efectos de los movimientos de las tasas de intervención del Banco de la República en la estructura a plazo. La evidencia sugiere que, en frecuencia diaria, las reacciones son imperceptibles. Sin embargo, con datos en frecuencia semanal, la evidencia muestra un efecto empinamiento de la curva de rendimientos cuando aumenta la tasa de subastas. Esto puede ser síntoma de que los agentes perciben un nivel importante de transparencia pero una baja credibilidad de la política monetaria. Esto es, que los agentes están esperando más variaciones de la tasa de intervención en el futuro. En cualquier frecuencia, diaria o semanal, y con las tasas spot se cumple la hipótesis de paridad descubierta de intereses con el mecanismo de expectativas seleccionado.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 424.

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Handle: RePEc:bdr:borrec:424

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Keywords: tasas de intervención; estructura a plazo de tasas de interés; hipótesis de paridad descubierta. Classification JEL:E43; E52; F31.;

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  1. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2006. "Una Aproximación a La Dinámica de las Tasas de Interés de Corto Plazo en Colombia a través de Modelos GARCH Multivariados," BORRADORES DE ECONOMIA 003694, BANCO DE LA REPÚBLICA. [Downloadable!]
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  2. V. Vance Roley & Gordon H. Sellon, Jr., 1995. "Monetary policy actions and long-term interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 73-89. [Downloadable!]
  3. de Haan, Jakob & Eijffinger, Sylvester C.W. & Rybinski, Krzysztof, 2007. "Central bank transparency and central bank communication: Editorial introduction," European Journal of Political Economy, Elsevier, vol. 23(1), pages 1-8, March. [Downloadable!] (restricted)
  4. Christina D. Romer & David H. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, vol. 90(3), pages 429-457, June. [Downloadable!] (restricted)
  5. Mishkin, Frederic S, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 3-10, Fall. [Downloadable!] (restricted)
  6. Carlos Andrés Amaya, 2006. "Interest Rate Setting and the Colombian Monetary Transmission Mechanism," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE. [Downloadable!]
  7. Rocío Betancourt & Hernando Vargas & Norberto Rodríguez Niño, 2006. "Interest Rate Pass-Through In Colombia: A Micro- Banking Perspective," BORRADORES DE ECONOMIA 002909, BANCO DE LA REPÚBLICA. [Downloadable!]
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  8. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February. [Downloadable!] (restricted)
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  9. Seppälä, Juha & Viertiö, Petri, 1996. "The Term Structure of Interest Rates: Estimation and Interpretation," Research Discussion Papers 19/1996, Bank of Finland. [Downloadable!]
  10. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly," NBER Working Papers 11840, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Alan S. Blinder, 2000. "Central-Bank Credibility: Why Do We Care? How Do We Build It?," American Economic Review, American Economic Association, vol. 90(5), pages 1421-1431, December. [Downloadable!] (restricted)
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  12. Pedro Galeano & Daniel Peña, 2004. "A Note On Prediction And Interpolation Errors In Time Series," Statistics and Econometrics Working Papers ws042710, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  13. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June. [Downloadable!] (restricted)
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  1. Carlos Esteban Posada & Camilo Morales J., . "La inflación y la política monetaria colombianas del período 1996-2006: una interpretación," Borradores de Economia 465, Banco de la Republica de Colombia. [Downloadable!]
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