Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia

El objetivo de este trabajo es investigar los efectos de la comunicación del banco central en la formación del pronóstico de la tasa de interés de política monetaria. Para ello, es utilizado como estudio de caso la economía colombiana para el periodo 2014-2020. La metodología empleada consiste en ev...

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Autores:
Anzoátegui-Zapata, Juan Camilo
Galvis-Ciro, Juan Camilo
Tipo de recurso:
Article of investigation
Fecha de publicación:
2022
Institución:
Universidad Católica de Colombia
Repositorio:
RIUCaC - Repositorio U. Católica
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spa
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oai:repository.ucatolica.edu.co:10983/29482
Acceso en línea:
https://hdl.handle.net/10983/29482
https://doi.org/10.14718/revfinanzpolitecon.v14.n2.2022.4
Palabra clave:
desacuerdos
comunicación
política monetaria
expectativas de tasa de interés
Banco Central
Colombia
Econometría
disagreements
interest rate expectations
communication
monetary policy
Central bank
Colombia
Econometrics
Rights
openAccess
License
Juan Camilo Galvis Ciro, Juan Camilo Anzoátegui Zapata - 2022
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dc.title.spa.fl_str_mv Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
dc.title.translated.eng.fl_str_mv Effects of the central bank communication on the expectations disagreements of the monetary policy rate: evidence for Colombia
title Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
spellingShingle Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
desacuerdos
comunicación
política monetaria
expectativas de tasa de interés
Banco Central
Colombia
Econometría
disagreements
interest rate expectations
communication
monetary policy
Central bank
Colombia
Econometrics
title_short Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
title_full Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
title_fullStr Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
title_full_unstemmed Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
title_sort Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia
dc.creator.fl_str_mv Anzoátegui-Zapata, Juan Camilo
Galvis-Ciro, Juan Camilo
dc.contributor.author.spa.fl_str_mv Anzoátegui-Zapata, Juan Camilo
Galvis-Ciro, Juan Camilo
dc.subject.spa.fl_str_mv desacuerdos
comunicación
política monetaria
expectativas de tasa de interés
Banco Central
Colombia
Econometría
topic desacuerdos
comunicación
política monetaria
expectativas de tasa de interés
Banco Central
Colombia
Econometría
disagreements
interest rate expectations
communication
monetary policy
Central bank
Colombia
Econometrics
dc.subject.eng.fl_str_mv disagreements
interest rate expectations
communication
monetary policy
Central bank
Colombia
Econometrics
description El objetivo de este trabajo es investigar los efectos de la comunicación del banco central en la formación del pronóstico de la tasa de interés de política monetaria. Para ello, es utilizado como estudio de caso la economía colombiana para el periodo 2014-2020. La metodología empleada consiste en evaluar los efectos de la información suministrada en las minutas, el volumen de noticias y las publicaciones del banco central sobre los desacuerdos en las expectativas del mercado financiero. Por medio de regresiones econométricas, y utilizando el método GMM y la metodología VAR de impulso-respuesta, se encuentra que las decisiones de política que se realizan en consenso, así como la claridad en la redacción de las minutas, tienen la capacidad de reducir las discrepancias entre los agentes.
publishDate 2022
dc.date.accessioned.none.fl_str_mv 2022-06-29 00:00:00
2023-01-23T16:16:30Z
dc.date.available.none.fl_str_mv 2022-06-29 00:00:00
2023-01-23T16:16:30Z
dc.date.issued.none.fl_str_mv 2022-06-29
dc.type.spa.fl_str_mv Artículo de revista
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dc.relation.references.spa.fl_str_mv Anzoátegui, J., & Galvis, J. (2019). “Efectos de la comunicación del banco central sobre los títulos públicos: evidencia empírica para Colombia. Cuadernos de Economía, 39(77), 1-23. https://doi.org/10.15446/cuad.econ.v38n77.64706
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Bernanke, B., & Kuttner, K. (2005). What Explains the Stock Market's Reaction to Federal Reserve Policy? Journal of Finance, 60(3), 1221-1257.
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Blinder, A., Goodhart, C., Hildebrand, P., Lipton, D., & Wyplosz, C. (2001). How do central banks talk? Ginebra: International Center for Monetary and Banking Studies.
Bulíř, A., Čihák, M., & Jansen, D. J. (2013). What Drives Clarity of Central Bank Communication about Inflation? Open Economies Review, 24(1), 125-145. https://doi.org/10.1007/ s11079-012-9259-z
Chavarro, X., Cristiano, D., Gomez, J., González, E., & Huertas, C. (2015). Evaluación de la transmisión de la tasa de interés de referencia a las tasas de interés del sistema financiero. Borradores de Economía, 874.
Coenen, G., Ehrmann, M., Gaballo, G., Hoffmann, P., Nakov, A., Nardelli, S., Persson, E., & Strasser. G. (2017). Communication of Monetary Policy in Unconventional Times[Working Paper 2080]. European Central Bank.}
Coibion, O., & Gorodnichenko, Y. (2015). Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts. American Economic Review, 105(8), 2644-2678. http://dx.doi.org/10.1257/aer.20110306
Coibion, O., & Gorodnichenko, Y. (2012). What Can Survey Forecasts Tell Us about Information Rigidities? Journal of Political Economy, 120(1), 116-159. http://dx.doi.org/10.1086/665662
Crump, R., Eusepi, S., & Moench, E. (2013). Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement? Liberty Street Economics.
De Mendonça, H. F., & Nicolay, R. T. F. (2017). Is communication clarity from fiscal authority useful? Evidence from an emerging economy. Journal of Policy Modeling, 39(1), 35-51.
Ehrmann, M., Eijffinger, S., & Fratzscher, M. (2012). The role of central bank transparency for guiding private sector forecasts. Scandinavian Journal of Economics, 114(3), 1018-1052.
Ehrmann, M., & Fratzscher, M. (2009). Global Financial Transmission of Monetary Policy Shocks. Oxford Bulletin of Economics and Statistics, 71(6), 739-759.
Evans, G. W., & Honkapohja, S. (2009). Learning and macroeconomics. Annual Rev Econ 1, 421-451.
Dovern, J. (2015). A multivariate analysis of forecast disagreement: Confronting models of disagreement with survey data. European Economic Review, 80, 16-35. https://doi.org/10.1016/j.euroecorev.2015.08.009
Dovern, J., Fritsche, U., & Slacalek, J. (2012). Disagreement Among Forecasters in G7 Countries. Review of Economics and Statistics, 94(4), 1081-1096. https://doi.org/10.1162/REST_a_00207
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Gaballo, G. (2016). Rational Inattention to News: The Perils of Forward Guidance. American Economic Journal: Macroeconomics, 8(1), 42-97.
Galvis, J., & Anzoátegui, J. (2019). Disagreement in inflation expectations: Empirical evidence for Colombia. Applied Economics, 51(40), 4411-4424.
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dc.rights.spa.fl_str_mv Juan Camilo Galvis Ciro, Juan Camilo Anzoátegui Zapata - 2022
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spelling Anzoátegui-Zapata, Juan Camilodc2f19b1-5d7b-4d95-9bf1-2f4848aa9769Galvis-Ciro, Juan Camilo2282252a-4a71-4530-a8a7-27bbe279ba892022-06-29 00:00:002023-01-23T16:16:30Z2022-06-29 00:00:002023-01-23T16:16:30Z2022-06-29El objetivo de este trabajo es investigar los efectos de la comunicación del banco central en la formación del pronóstico de la tasa de interés de política monetaria. Para ello, es utilizado como estudio de caso la economía colombiana para el periodo 2014-2020. La metodología empleada consiste en evaluar los efectos de la información suministrada en las minutas, el volumen de noticias y las publicaciones del banco central sobre los desacuerdos en las expectativas del mercado financiero. Por medio de regresiones econométricas, y utilizando el método GMM y la metodología VAR de impulso-respuesta, se encuentra que las decisiones de política que se realizan en consenso, así como la claridad en la redacción de las minutas, tienen la capacidad de reducir las discrepancias entre los agentes.The aim of this paper is to research the effects of the central bank’s communication on the forecast of the  monetary policy interest rate. To do this, we analyze the case of the Colombian economy for the period 2014-2020. The methodology used consists of evaluating the information provided in the minutes, the volume of news and the central bank’s publications and evaluating their effects on the disagreements in the expectations of the financial market. Through econometric regressions and using the GMM method and the impulse-response VAR methodology, it is found that policy decisions made by consensus, as well as clarity in the drafting of minutes, reduce uncertainty among agents.text/htmlapplication/pdftext/xml10.14718/revfinanzpolitecon.v14.n2.2022.42011-76632248-6046https://hdl.handle.net/10983/29482https://doi.org/10.14718/revfinanzpolitecon.v14.n2.2022.4spaUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/4418/4363https://revfinypolecon.ucatolica.edu.co/article/download/4418/4320https://revfinypolecon.ucatolica.edu.co/article/download/4418/4388Núm. 2 , Año 2022 : Vol. 14 Núm. 2 (2022)409237514Revista Finanzas y Política EconómicaAnzoátegui, J., & Galvis, J. (2019). “Efectos de la comunicación del banco central sobre los títulos públicos: evidencia empírica para Colombia. Cuadernos de Economía, 39(77), 1-23. https://doi.org/10.15446/cuad.econ.v38n77.64706Ballantyne, A., Gillitzer, C., Jacobs, D., & Rankin, E. (2016). Disagreement about inflation expectations [Working Paper 2016-02, Research Discussion Paper]. Reserve Bank of Australia.Barrio-Cantalejo, I. M., Simón-Lorda, P., Melguizo, M., Escalona, I., Marijuán, M. I., & Hernando, P. (2008). Validación de la Escala Inflesz para evaluar la legibilidad de los textos dirigidos a pacientes. Anales del Sistema Sanitario de Navarra, 31(2): 135-152. https://doi.org/10.4321/S1137-66272008000300004Bernanke, B., & Kuttner, K. (2005). What Explains the Stock Market's Reaction to Federal Reserve Policy? Journal of Finance, 60(3), 1221-1257.Blinder, A., Ehrmann, M., Fratzcher, M., De Haan, J., & Jansen, D. (2008). Central Bank Communication and Monetary Policy. Journal of Economic Literature, 46(4), 910-945.Blinder, A., Goodhart, C., Hildebrand, P., Lipton, D., & Wyplosz, C. (2001). How do central banks talk? Ginebra: International Center for Monetary and Banking Studies.Bulíř, A., Čihák, M., & Jansen, D. J. (2013). What Drives Clarity of Central Bank Communication about Inflation? Open Economies Review, 24(1), 125-145. https://doi.org/10.1007/ s11079-012-9259-zChavarro, X., Cristiano, D., Gomez, J., González, E., & Huertas, C. (2015). Evaluación de la transmisión de la tasa de interés de referencia a las tasas de interés del sistema financiero. Borradores de Economía, 874.Coenen, G., Ehrmann, M., Gaballo, G., Hoffmann, P., Nakov, A., Nardelli, S., Persson, E., & Strasser. G. (2017). Communication of Monetary Policy in Unconventional Times[Working Paper 2080]. European Central Bank.}Coibion, O., & Gorodnichenko, Y. (2015). Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts. American Economic Review, 105(8), 2644-2678. http://dx.doi.org/10.1257/aer.20110306Coibion, O., & Gorodnichenko, Y. (2012). What Can Survey Forecasts Tell Us about Information Rigidities? Journal of Political Economy, 120(1), 116-159. http://dx.doi.org/10.1086/665662Crump, R., Eusepi, S., & Moench, E. (2013). Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement? Liberty Street Economics.De Mendonça, H. F., & Nicolay, R. T. F. (2017). Is communication clarity from fiscal authority useful? Evidence from an emerging economy. Journal of Policy Modeling, 39(1), 35-51.Ehrmann, M., Eijffinger, S., & Fratzscher, M. (2012). The role of central bank transparency for guiding private sector forecasts. Scandinavian Journal of Economics, 114(3), 1018-1052.Ehrmann, M., & Fratzscher, M. (2009). Global Financial Transmission of Monetary Policy Shocks. Oxford Bulletin of Economics and Statistics, 71(6), 739-759.Evans, G. W., & Honkapohja, S. (2009). Learning and macroeconomics. Annual Rev Econ 1, 421-451.Dovern, J. (2015). A multivariate analysis of forecast disagreement: Confronting models of disagreement with survey data. European Economic Review, 80, 16-35. https://doi.org/10.1016/j.euroecorev.2015.08.009Dovern, J., Fritsche, U., & Slacalek, J. (2012). Disagreement Among Forecasters in G7 Countries. Review of Economics and Statistics, 94(4), 1081-1096. https://doi.org/10.1162/REST_a_00207Drager, L., & Lamla, M. (2017). Explaining disagreement on interest rates in a Taylorrule setting. Scandinavian Journal of Economics, 119(4), 987-1009.Ferrando-Belart, V. (2004). La legibilidad: un factor fundamental para comprender un texto. Atencion Primaria, 34(3), 143-146. https.//doi.org/10.1157/13064529Gaballo, G. (2016). Rational Inattention to News: The Perils of Forward Guidance. American Economic Journal: Macroeconomics, 8(1), 42-97.Galvis, J., & Anzoátegui, J. (2019). Disagreement in inflation expectations: Empirical evidence for Colombia. Applied Economics, 51(40), 4411-4424.Geraats, P. (2014). 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Journal of Economics Perspectives, 15(4), 87-100.Juan Camilo Galvis Ciro, Juan Camilo Anzoátegui Zapata - 2022info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.https://creativecommons.org/licenses/by-nc-sa/4.0https://revfinypolecon.ucatolica.edu.co/article/view/4418desacuerdoscomunicaciónpolítica monetariaexpectativas de tasa de interésBanco CentralColombiaEconometríadisagreementsinterest rate expectationscommunicationmonetary policyCentral bankColombiaEconometricsEfectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para ColombiaEffects of the central bank communication on the expectations disagreements of the monetary policy rate: evidence for ColombiaArtículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2749https://repository.ucatolica.edu.co/bitstreams/e2f529bf-17f4-464a-b33b-390acf91331f/download9eddca4e7f5858accc62132d78bd9267MD5110983/29482oai:repository.ucatolica.edu.co:10983/294822023-03-24 15:06:30.099https://creativecommons.org/licenses/by-nc-sa/4.0Juan Camilo Galvis Ciro, Juan Camilo Anzoátegui Zapata - 2022https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com

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