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Impacto de las decisiones de política monetaria de la FED en indicadores de la economía colombiana durante el periodo 2007-2015

Author

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  • Alberto Parra Barrios
Abstract
Este artículo analiza el impacto de la política monetaria de la Reserva Federal de Estados Unidos (FED) en tres indicadores de la economía colombiana durante el periodo 2007-2015: la tasa representativa del mercado (TRM), el índice COLCAP y los títulos de renta fija (TES) con tasa cupón del 11% anual. Contempla además los anuncios de la FED un ano antes de la crisis, durante la implementación del programa Quantitative Easing entre el 2008 y el 2014 y un ano después de su fina- lización, cuando se decide endurecer la política monetaria en diciembre del 2015. El documento aborda inicialmente las causas sobresalientes de la crisis, hace una revisión de las principales investigaciones realizadas sobre el tema —destacando el impacto sobre los activos financieros en diferentes economías— y finalmente explica la metodología de eventos aplicando el modelo EGARCH en los resultados del análisis. Al finalizar, se concluye que los anuncios de política monetaria de la FED en el periodo de análisis impactaron los indicadores COLCAP y TRM de manera significativa en ventanas de 3, 5 y 7 días, en el 93,3% de los casos. La variable TES (cupón del 11% anual) no pudo ser analizada, como se explica en las conclusiones.

Suggested Citation

  • Alberto Parra Barrios, 2019. "Impacto de las decisiones de política monetaria de la FED en indicadores de la economía colombiana durante el periodo 2007-2015," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 11(1), pages 149-182, February.
    • Handle: RePEc:col:000443:017779
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    File URL: https://editorial.ucatolica.edu.co/index.php/RFYPE/article/view/2895
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    References listed on IDEAS

    as
    1. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
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    More about this item

    Keywords

    activos de alto riesgo; flexibilización cuantitativa; índiceaccionario COLCAP; tasa representativa del mercado; titularización; títulos de renta fija TES.;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law
    • G1 - Financial Economics - - General Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • O23 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Fiscal and Monetary Policy in Development

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