Escuela de Finanzas, Economía y Gobierno

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La curva de rendimientos a plazo y las expectativas de tasas de interés en el mercado de renta fija en Colombia 2002-2007
(Universidad EAFIT, 2008-11-15) Agudelo Rueda, Diego; Arango Arango, Mónica
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.
La curva de rendimientos a plazo y las expectativas de tasas de interés en los mercados colombianos de renta fija 2002-2007
(Universidad de Antioquia, 2008) Agudelo Rueda, Diego; Arango Arango, Mónica; Departamento de Finanzas, Universidad EAFIT; Universidad de Medellín; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca