Transmission Mechanism for Interest Rates in Colombia (2001-2007)

Cuadernos de Economía, Vol. 27, No. 48, 2008

32 Pages Posted: 27 Aug 2008

Date Written: August, 26 2008

Abstract

A cointegration model is used to try to establish a relationship of causality between the reference rate (expansion auction), the interbank rate, and the interest rate of 90 day CDTs (with daily frequency). The estimation is made through GARCH models and their variations, seeking to specify the conditional variance, which is not constant in time and which is reflected in the concentrations of volatilities. In addition, an Ordinary Least Squares model is used to try to determine the impact on these rates of the fiscal variables public spending and net internal credit.

Note: Downloadable document is in Spanish.

Keywords: Transmission mechanisms, monetary policy, GARCH Models

JEL Classification: C51, E4, E40, E50

Suggested Citation

Cano, Calos Andrés and Orozco, Marcela and Sánchez, Luis Alfonso, Transmission Mechanism for Interest Rates in Colombia (2001-2007) (August, 26 2008). Cuadernos de Economía, Vol. 27, No. 48, 2008, Available at SSRN: https://ssrn.com/abstract=1259177

Calos Andrés Cano (Contact Author)

Universidad EAFIT ( email )

Carrera 49 N° 7 sur – 50
Bogotá, Antioquia 00000
Colombia

HOME PAGE: http://www.eafit.edu.co

Marcela Orozco

Universidad EAFIT ( email )

Carrera 49 N° 7 sur – 50
Bogotá, Antioquia 00000
Colombia

HOME PAGE: http://www.eafit.edu.co

Luis Alfonso Sánchez

Universidad EAFIT ( email )

Carrera 49 N° 7 sur – 50
Bogotá, Antioquia 00000
Colombia

HOME PAGE: http://www.eafit.edu.co

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