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: Suggested Citation