Resumo

CANO GAMBOA, Carlos Andrés; OROZCO CHAVEZ, Marcela  e  SANCHEZ BETANCUR, Luis Alfonso. MECANISMO DE TRANSMISIÓN DE LAS TASAS DE INTERÉS EN COLOMBIA (2001-2007). Cuad. Econ. [online]. 2008, vol.27, n.48, pp.209-240. ISSN 0121-4772.

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.

Palavras-chave : Transmission mechanisms; monetary policy; GARCH Models.

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