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Cambios de las tasas de política, paridad cubierta de intereses y estructura a plazo

Author

Listed:
  • Luis Eduardo Arango
  • Daniel Eduardo Velandia

Abstract

Se utiliza información de los mercados de Estados Unidos e Inglaterra para hacer estimaciones actuales de la capacidad que tienen la Reserva Federal y el Banco de Inglaterra de afectar las tasas de interés del mercado. Las estimaciones muestran que la reacciones son mucho menores que las originales de Cook y Hahn (1989). Cuando dicha ecuación se modifica para considerar la paridad cubierta de intereses se verifica de un lado que esta se cumple y que las autoridades monetarias logran afectar las tasas de interés del mercado. Se encuentra evidencia del cumplimiento de la hipótesis de expectativas de tasas de interés.

Suggested Citation

  • Luis Eduardo Arango & Daniel Eduardo Velandia, 2008. "Cambios de las tasas de política, paridad cubierta de intereses y estructura a plazo," Borradores de Economia 503, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:503
    DOI: 10.32468/be.503
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    Keywords

    Tasa de política; estructura a plazo de tasas de interés; hipótesis de paridad cubierta; transparencia; credibilidad.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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