Tramo corto de la curva de rendimientos, cambio de régimen inflacionario y expectativas de inflación en Colombia

Abstract

Taking into account the risk premium within the Fisher equation and the rapid decrease of inflation in Colombia at the end of last decade we test the hypothesis of linearity for the expected inflation differentials between 6 and 12 months ahead built by assuming four different expectation mechanisms about future inflation: rational, autoregressive, static and adaptive expectations. Two sets of information are used to check the hypothesis of the Fisher effect: the return index of the official bonds traded through the Colombian Stock Market, IRTES, and the cero-coupon curves. The hypothesis of linearity is rejected when expectations are forward looking. With the IRTES curve the results are those predicted by the theory regarding sign and significance. The information content of the spread of interest rates is sensitive to information set used and the expectation mechanism.