Resumo

CAMARO SUAREZ, Álvaro Andrés; CASAS HENAO, Arnoldo; SANTANA CONTRERAS, Juan Camilo  e  JIMENEZ, Édgar Ricardo. An empirical approach to the relationship between TES and TF interest rates and the type of exchange in Colombia. Innovar [online]. 2006, vol.16, n.27, pp.47-56. ISSN 0121-5051.

The present work analyses the evolution of relation ships between Colombian public debt market interest rates and the peso-dollar nominal exchange rate. It uses the historical representative market rate (RMR) series for measuring exchange rate patterns and constructs a TES market index for January 2003 to March the absence of a permanent and representative liquidity indicator. A cointegration and causality hypothesis was tested using a casi-VAR (VECM) model whose main conclusion led to no statistical evidence respecting the existence of a long-term relation ship between the type of exchange rate and public debt interest rates for the period being analysed, even though the short-term and long-term dynamics between the exchange rate and public debt market interest rates were captured.

Palavras-chave : cointegration; causality; VECM models; impulse-response function; representative market rate (RMR); treasury bonds (TES).

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