Resumen

ARANGO, Luis Eduardo; GONZALEZ, Andrés; LEON, John Jairo  y  MELO, Luis Fernando. Cambios de la Tasa de Política y su Efecto en la Estructura a Plazo de Colombia. Cuad. econ. [online]. 2008, vol.45, n.132, pp. 257-291. ISSN 0717-6821.  doi: 10.4067/S0717-68212008000200005.

This paper analyzes the effects of changes of Banco de la Republica's policy interest rate in the term structure. The evidence suggests that, in daily frequency, these reactions are not significant. However, with weekly data we found an anticipated reaction (one and three weeks before the movement) in the term structure in response to a change in the policy interest rate. Unfortunately the reaction has a "steepness effect" on the term structure, which may not support the expectations hypothesis of interest rates or may suggest a weak credibility and transparency of Banco de la Republica or both.

Palabras clave : Tasas de Política; Estructura a Plazo de Tasas de Interés; Hipótesis de Paridad Descubierta; Transparencia; Credibilidad.