La curva de rendimientos a plazo y las expectativas de tasas de interés en el mercado de renta fija en Colombia 2002-2007

How does the yield curve incorporate the 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 the 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.

• Autores: Agudelo Rueda, Diego; Arango Arango, Mónica
• Fecha de publicación: 2008
• Institución: Universidad EAFIT
• Repositorio: Repositorio EAFIT
• Idioma: spa
• OAI Identifier: oai:repository.eafit.edu.co:10784/648
• Acceso en línea: http://hdl.handle.net/10784/648
• Palabra clave: Expectations hypothesis; Liquidity preference theory; Term structure of interest rates; Capital markets; Fixed Income; Hipótesis de Expectativas; Hipótesis de la prima por liquidez; Estructura temporal de la tasa de interés; Mercado de Capitales; Renta fija
• License: Acceso abierto