The Yield Curve and the Interest Rates Expectations on Fixed Income Market in Colombia Between 2002 and 2007

Publicado en

  • Lecturas de Economía

Resumen

  • How does the yield curve incorporate expectations on the Colombian future short-term interest rates? Two theories have been proposed to explain it: the Expectation Hypothesis and the Liquidity Preference Hypothesis. This paper tests both theories for the TES yield curve as well as for the CDT yield curve, using time-series models that account for the persistence and heteroskedasticity of interest rates. The results support the Liquidity Preference Hypothesis, consistent with the fact that in Colombia long-term rates have been consistently higher than short-term rates. However we found evidence of some predictive power of the long-term rates on the future short term rates, consistent with the Expectation Hypothesis.

fecha de publicación

  • 2008

Líneas de investigación

  • Capital Markets
  • Expectations Hypothesis
  • Fixed Income
  • Liquidity Preference Theory
  • Term Structure of Interest Rates

Página inicial

  • 39

Última página

  • 66

Issue

  • 68