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El trimestre económico
On-line version ISSN 2448-718XPrint version ISSN 0041-3011
Abstract
ARANGO, Luis Eduardo and VELANDIA, Daniel Eduardo. Cambios de las tasas de política, paridad cubierta de intereses y estructura a plazo. El trimestre econ [online]. 2010, vol.77, n.306, pp.393-422. ISSN 2448-718X.
Data from the USA and the UK markets is used to re-estimate the capability of the Federal Reserve and Bank of England to affect the interest rates. The evidence shows that these reactions are smaller than the originals of Cook and Hahn (1989). When such an equation is modified to allow for covered interest parity the evidence shows that, on the one hand, this hypothesis holds and the monetary authorities are able to influence the market interest rates. Evidence supports the hypothesis of expectations of interest rates.
Keywords : tasa de política; estructura a plazo de tasas de interés; hipótesis de paridad cubierta; transparencia; credibilidad.