Abstract

PATINO MARTINEZ, EDITH CATALINA; ALMONACID HURTADO, PAULA  and  TAMARA AYUS, ARMANDO LENIN. MONETARY POLICY AND ASSET PRICES: AN ANALYSIS FROM THE INTEREST RATE FOR COLOMBIA FROM 2003 TO 2010. Finanz. polit. econ. [online]. 2013, vol.5, n.2, pp.57-69. ISSN 2248-6046.

The main purpose of this paper is to analyze the impact of the Colombian monetary policy on the price of fixed income securities for the 2003-2010 period. It also seeks to verify that the process of transmission is compatible with the arguments of the pure expectations theory. In order to analyze the relationship between the short and long term TES (the name for the financial securities issued by the Colombian government) and the monetary policy, we apply an econometric model of vector error correction (VEC) using as the dependent variable the return of bonds with maturity terms of either 6 months, and 1, 5 and 25 years; and as explanatory variables we propose the interbank rate, inflation rate and the forward rate. The main results indicate that the Colombian monetary policy affects the price of these assets primarily through its interest rate referential policy, as well as expected inflation and interest rates.

Keywords : monetary policy; pure expectations theory; Vector Error Correction Model.

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