Correo Electrónico
DNINFOA - SIA
Bibliotecas
Convocatorias
Identidad U.N.
Publicado
Efectos de la comunicación del banco central sobre los títulos públicos: evidencia empírica para Colombia
The effects of central bank communication on public debt securities: Empirical evidence for Colombia
Efeitos da comunicação do banco central sobre os títulos públicos: evidência empírica para Colômbia
DOI:
https://doi.org/10.15446/cuad.econ.v38n77.64706Palabras clave:
comunicación del banco central, política monetaria, deuda pública (es)Central bank communication, monetary policy, public debt (en)
comunicação do banco central, política monetária, dívida pública (pt)
Descargas
Este artículo examina los efectos de la comunicación del banco central sobre los títulos de deuda pública para una economía emergente. Se toma como estudio de caso la economía colombiana con datos referentes al periodo de 2008 a 2016 y se analizan los comunicados de prensa, las minutas y los reportes de inflación. Los hallazgos indican que la comunicación tiene efectos importantes sobre el nivel de los retornos de los títulos de deuda pública al día siguiente de los anuncios del banco central, y el efecto es mayor para las minutas de política monetaria.
This paper examines the effect of the central bank’s communication on public debt for the Colombian economy with data referring to the period 2008-2016. The press releases, the minutes and the inflation reports are analyzed. The findings indicate that communication has important effects on the levels of returns of public debt securities the day after the announcements, and the effect is greater for the monetary policy minutes.
Este artigo examina os efeitos da comunicação do banco central sobre os títulos de dívida pública para uma economia emergente. É tomada como estudo de caso a economia colombiana com dados referentes ao período de 2008 a 2016 e são analisados os comunicados de imprensa, as minutas e os relatórios de inflação. As descobertas indicam que a comunicação tem efeitos importantes sobre o nível dos retornos dos títulos de dívida pública no dia seguinte aos anúncios do banco central, e o efeito é maior para as minutas de política monetária.
Referencias
Banco de la República. (2016). Informe sobre inflación: junio de 2016. Recuperado de http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/isi_jun_2016.pdf
Bernoth, K., & Hagen, J. von (2004). The Euribor futures market: Efficiency and the impact of ECB policy announcements. International Finance, 7(1), 1-24.
Blinder, A. S. (1998). Central banking in theory andpractice. Cambridge: MIT Press.
Blinder, A. S., Ehrmann, M., Fratzscher, M., De Haan, J., & Jansen, D. J. (2008). Central bank communication and monetary policy: A survey of theory and evidence. Journal of Economic Literature, 46(4), 910-945.
Bomfim, A. N. (2003). Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market. Journal of Banking & Finance, 27(1), 133-151.
Bomfim, A. N., & Reinhart, V. R. (2000). Making news: Financial market effects of Federal Reserve disclosure practices. FEDS Working Paper, 14.
Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, 8(4), 236-251.
Born, B., Ehrmann, M., & Fratzscher, M. (2013). Central bank communication on financial stability. The Economic Journal, 124(577), 701-734.
Brzeszczyñski, J., Gajdka, J., & Kutan, A. M. (2015). Investor response to public news, sentiment and institutional trading in emerging markets: A review. International Review of Economics & Finance, 40, 338-352.
Bulíf, A., Cihák, M., & Jansen, D. J. (2013). What drives clarity of central bank communication about inflation? Open Economies Review, 24(1), 125-145.
Bulíf, A., Smidkova, K., Kotlán, V., & Navrátil, D. (2008). Inflation targeting and communication: It pays off to read inflation reports (Working Paper, 08/234). IMF.
Byrne, J. P., & Fiess, N. (2016). International capital flows to emerging markets: National and global determinants. Journal of International Money and Finance, 61, 82-100.
Carvalho, C., Cordeiro, F., & Vargas, J. (2013). Just words? A quantitative analysis of the communication of the Central Bank of Brazil. Revista Brasileira de Economia, 67(4), 443-455.
Cenedese, G., & Mallucci, E. (2016). What moves international stock and bond markets? Journal of International Money and Finance, 60, 94-113.
Chortareas, G., Stasavage, D., & Sterne, G. (2001). Does it pay to be transparent? International evidence from central bank forecasts (Working Paper, 143). Bank of England.
Claessens, S., Klingebiel, D., & Schmukler, S. L. (2007). Government bonds in domestic and foreign currency: The role of institutional and macroeconomic factors. Review of International Economics, 15(2), 370-413.
Clare, A., & Courtenay, R. (2001). Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes (Working Paper Series, 125). Bank of England.
Connolly, E., & Kohler, M. (2004). News and interest rate expectations: A study of six central banks. En K. Kent & S. Guttman (Eds.), The future of inflation targeting (pp. 108-134). Sídney, Australia: Reserve Bank of Australia.
De Haan, J., Eijffinger, S. C., & Rybiński, K. (2007). Central bank transparency and central bank communication: Editorial introduction. European Journal of Political Economy, 25(1), 1-8.
Edwards, S. (2010). The international transmission of interest rate shocks: The Federal Reserve and emerging markets in Latin America and Asia. Journal of International Money and Finance, 29(4), 685-703.
El-Shagi, M., & Jung, A. (2015). Have minutes helped markets to predict the MPC's monetary policy decisions? European Journal of Political Economy, 39, 222-234.
Ehrmann, M., & Fratzscher, M. (2005). How should central banks communicate? (Working Paper, 557). ECB.
Fatum, R., & Scholnick, B. (2006). Do exchange rates respond to day-today changes in monetary policy expectations when no monetary policy changes occur? Journal of Money, Credit and Banking, 38(6), 1641-1657.
Favero, C. A., & Giavazzi, F. (2004). Inflation targeting and debt: Lessons from Brazil (Working Paper, 10390). NBER.
García-Herrero, A., Girardin, E., & López-Marmolejo, A. (2015). Mexico's monetary policy communication and money markets (Working Paper, 15/15). BBVA.
Geraats, P. M. (2006). Transparency of monetary policy: Theory and practice. CESifo Economic Studies, 52(1), 111-152.
Glennerster, R., & Shin, Y. (2008). Does transparency pay? IMF Staff Papers, 55(1), 183-209.
Guarín, A., Moreno, J. F., & Vargas, H. (2014). An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields. Ensayos sobre Política Económica, 32(74), 68-86.
Gurkaynak, R. S., Sack, B. P., & Swanson, E. T. (2005). Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. International Journal of Central Banking, 1(1), 55-93.
Hayo, B., Kutan, A. M., & Neuenkirch, M. (2015). Financial market reaction to Federal Reserve communications: Does the global financial crisis make a difference? Empirica, 42(1), 185-203.
Ismihan, M., & Ozkan, F. G. (2012). Public debt and financial development: A theoretical exploration. Economics Letters, 115(3), 348-351.
Jansen, D. J. (2008). Has the clarity of humphrey-hawkins testimonies affected volatility in financial markets? (Working Papers, 185). DNB.
Jansen, D. J. (2011). Does the clarity of central bank communication affect volatility in financial markets? Evidence from Humphrey-Hawkins testimonies. Contemporary Economic Policy, 29(4), 494-509.
Jeanneau, S. (2009). Communication of monetary policy decisions by central banks: What is revealed and why (Papers, 47). BIS.
Jung, A. (2016). Have minutes helped to predict fed funds rate changes? Journal of Macroeconomics, 49, 18-32.
Knütter, R., Mohr, B., & Wagner, H. (2011). The effects of central bank communication on financial stability: A systematization of the empirical evidence (Discussion Paper, 463). Fernuniver-sität Hagen.
Kohn, D. L., & Sack, B. P. (2004). Central bank talk: Does it matter and why? En Macroeconomics, monetary policy, and financial stability (pp. 175-206). Ottawa, Canadá: Bank of Canada.
Kuttner, K. N. (2001). Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics, 47(3), 523-544.
Lange, J., Sack, B., & Whitesell, W. (2003). Anticipations of monetary policy in financial markets. Journal of Money, Credit, and Banking, 35(6), 889-909.
Laxton, D., & Freedman, C. (2009). Inflation targeting pillars: Transparency and accountability (Working Papers, 09/262). IMF.
Leeper, E. (2003). An "inflation reports" report (Working Paper, 10089). NBER.
Martínez Cruz, D. A., Moreno Gutiérrez, J. F., & Rojas Moreno, J. S. (2015). Evolución de la relación entre bonos locales y externos del Gobierno colombiano frente a choques de riesgo (Borradores de Economía, 919). Banco de la República.
Mendonça, H. F. de, & Faria, I. (2013). Financial market reactions to announcements of monetary policy decisions: Evidence from the Brazilian case. Journal of Economic Studies, 40(1), 54-70.
Mendonça, H. F. de, & Machado, M. R. (2013). Public debt management and credibility: Evidence from an emerging economy. Economic Modelling, 30, 10-21.
Mishkin, F. S. (2000). Inflation targeting in emerging-market countries. American Economic Review, 90(2), 105-109.
Miyajima, K., Mohanty, M. S., & Chan, T. (2015). Emerging market local currency bonds: Diversification and stability. Emerging Markets Review, 22, 126-139.
Moessner, R. (2015). Reactions of US government bond yields to explicit FOMC forward guidance. The North American Journal of Economics and Finance, 33, 217-233.
Montes, G. C. (2013). Credibility and monetary transmission channels under inflation targeting: An econometric analysis from a developing country. Economic Modelling, 30, 670-684.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370.
Rajan, R. G. (2005). Has financial development made the world risker? (Working Paper, 11728). NBER.
Reeves, R., & Sawicki, M. (2007). Do financial markets react to Bank of England communication? European Journal of Political Economy, 23(1), 207-227.
Rosa, C., & Verga, G. (2007). On the consistency and effectiveness of central bank communication: Evidence from the ECB. European Journal of Political Economy, 23(1), 146-175.
Toro, J., Garavito, A., López, D. C., & Montes, E. (2015). El choque petrolero y sus implicaciones en la economía colombiana (Borradores de Economía, 906). Banco de la República.
Uribe, M., & Yue, V. Z. (2006). Country spreads and emerging countries: Who drives whom? Journal of International Economics, 69(1), 6-36.
Cómo citar
APA
ACM
ACS
ABNT
Chicago
Harvard
IEEE
MLA
Turabian
Vancouver
Descargar cita
CrossRef Cited-by
1. Juan Anzoátegui, Mateo Correa Jiménez, Carlos Andres Cardenas Quintero. (2023). Efectos de los desacuerdos en las expectativas de la tasa de interés intradía sobre los títulos de deuda pública: evidencia empírica para Colombia (Effects of Disagreements in Intraday Interest Rate Expectations on Public Debt Securities: Empirical Evidence for Colombia). SSRN Electronic Journal, https://doi.org/10.2139/ssrn.4591560.
2. Juan Camilo Galvis Ciro, Carlos Mauro Cárdenas Cardona. (2020). La comunicación fiscal y sus efectos sobre los retornos de los títulos públicos: una aproximación empírica para el caso colombiano. Ensayos de Economía, 30(56), p.105. https://doi.org/10.15446/ede.v30n56.83706.
3. Zapata Anzoátegui, Ciro Galvis. (2022). The communication effects on inflation forecast errors: Empirical evidence from Colombia. Panoeconomicus, 69(3), p.427. https://doi.org/10.2298/PAN180101016Z.
4. Luis E. Arango, Javier Pantoja, Carlos Velásquez. (2023). A content analysis of the Central Bank's press releases in Colombia. Latin American Journal of Central Banking, 4(3), p.100097. https://doi.org/10.1016/j.latcb.2023.100097.
5. Luis Fernando Melo-Velandia, Juan J. Ospina-Tejeiro, Julian A. Parra-Polania. (2020). Effects of Banco de la Republica’s Communication on the Yield Curve. https://doi.org/10.32468/be.1137.
6. Juan Camilo Anzoátegui Zapata, Danilo Rodríguez Arango, Juan Camilo Galvis Ciro. (2024). EFECTOS DE LA REPUTACIÓN DEL BANCO CENTRAL DE COLOMBIA SOBRE LA TASA DE INTERÉS. Investigación Económica, 83(328), p.131. https://doi.org/10.22201/fe.01851667p.2024.328.86454.
Dimensions
PlumX
Visitas a la página del resumen del artículo
Descargas
Licencia
Derechos de autor 2019 Cuadernos de EconomíaCuadernos de Economía a través de la División de Bibliotecas de la Universidad Nacional de Colombia promueve y garantiza el acceso abierto de todos sus contenidos. Los artículos publicados por la revista se encuentran disponibles globalmente con acceso abierto y licenciados bajo los términos de Creative Commons Atribución-No_Comercial-Sin_Derivadas 4.0 Internacional (CC BY-NC-ND 4.0), lo que implica lo siguiente:
