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La curva de rendimientos a plazo y las expectativas de tasas de interés en los mercados colombianos de renta fija 2002-2007
The Yield Curve and the Interest Rates Expectations on Fixed Income Market in Colombia Between 2002 and 2007;
La courbe de rendements à terme et les anticipations sur les taux d'intérêts dans le marché à revenu fixe en Colombie entre 2002 et 2007
dc.creator | Agudelo Rueda, Diego | spa |
dc.creator | Arango Arango, Mónica | spa |
dc.date.accessioned | 2017-06-15T21:49:33Z | |
dc.date.available | 2017-06-15T21:49:33Z | |
dc.date.created | 2008 | |
dc.identifier.citation | Agudelo Rueda, D. & Arango Arango, M. (2008). La curva de rendimientos a plazo y las expectativas de tasas de interés en los mercados colombianos de renta fija 2002-2007. Lecturas de Economía, (68), 39-66. | spa |
dc.identifier.issn | 01202596 | |
dc.identifier.uri | http://hdl.handle.net/11407/3284 | |
dc.description | ¿Cómo se incorporan las expectativas de las tasas de interés en la estructura de tipos de interés en Colombia? Las dos principales teorías propuestas son la Hipótesis de las Expectativas (HE) y la Hipótesis de prima por liquidez (HPL). Este estudio contrasta ambas teorías, tanto para las tasas de los TES como las de los CDTs, empleando modelos econométricos de series de tiempo que se controlan por la persistencia de las tasas y su heterocedasticidad. Los resultados soportan la HPL, consistente con el hecho de que en Colombia las tasas de largo plazo tienden a ser mayores que las de corto plazo. De otro lado, las tasas de largo plazo presentan algún poder predictivo sobre las tasas futuras de corto plazo, consistente con la HE. | spa |
dc.description | How does the yield curve incorporate expectations on the Colombian future short-term interest rates? Two theories have been proposed to explain it: the Expectation Hypothesis and the Liquidity Preference Hypothesis. This paper tests both theories for the TES yield curve as well as for the CDT yield curve, using time-series models that account for the persistence and heteroskedasticity of interest rates. The results support the Liquidity Preference Hypothesis, consistent with the fact that in Colombia long-term rates have been consistently higher than short-term rates. However we found evidence of some predictive power of the long-term rates on the future short term rates, consistent with the Expectation Hypothesis. | spa |
dc.language.iso | spa | |
dc.publisher | Universidad de Antioquia | spa |
dc.relation.isversionof | http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/264/233 | spa |
dc.source | Lecturas de Economía | spa |
dc.subject | Hipótesis de Expectativas | spa |
dc.subject | Hipótesis de la prima por liquidez | spa |
dc.subject | Estructura temporal de la tasa de interés | spa |
dc.subject | Mercado de Capitales | spa |
dc.subject | Renta fija | spa |
dc.subject | Expectations hypothesis | spa |
dc.subject | Liquidity preference theory | spa |
dc.subject | Term structure of interest rates | spa |
dc.subject | Capital markets | spa |
dc.subject | Fixed income | spa |
dc.title | La curva de rendimientos a plazo y las expectativas de tasas de interés en los mercados colombianos de renta fija 2002-2007 | spa |
dc.title | The Yield Curve and the Interest Rates Expectations on Fixed Income Market in Colombia Between 2002 and 2007 | spa |
dc.title | La courbe de rendements à terme et les anticipations sur les taux d'intérêts dans le marché à revenu fixe en Colombie entre 2002 et 2007 | spa |
dc.type | Article | eng |
dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
dc.publisher.program | Ingeniería Financiera | spa |
dc.publisher.faculty | Facultad de Ingenierías | spa |
dc.creator.affiliation | Agudelo Rueda, Diego; Universidad EAFIT | spa |
dc.creator.affiliation | Arango Arango, Mónica; Universidad de Medellín | spa |
dc.relation.ispartofes | Lecturas de Economía - No. 68. Medellín, enero-junio 2008, pp. 39-66 | spa |
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dc.identifier.eissn | 23230622 | |
dc.type.driver | info:eu-repo/semantics/article |
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