Relación entre la Deuda Pública y el spread de la Estructura a Plazos de las Tasas de Interés
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Ardila Dueñas, Carlos David
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Este documento analiza el efecto de la deuda del gobierno, emitida a tasa fija y tasa variable, sobre el spread de la estructura a plazos de las tasas de interés para la economía colombiana en el periodo 2003-2017. Para alcanzar este objetivo, primero se estima el spread de la curva de rendimientos a diferentes plazos, mediante un modelo de estado-espacio; posteriormente se determina el efecto de la deuda del gobierno sobre el spread, utilizando modelos de series de tiempo univariados y multivariados. Los resultados muestran un efecto positivo de la deuda del gobierno sobre los spread de los títulos de corto y largo plazos. Se advierte entonces la necesidad de reforzar el saneamiento fiscal y establecer estrategias de endeudamiento público que mitiguen los impactos negativos sobre los mercados financieros y la actividad económica.
Abstract: This document analyzes the effect of issued variable and fixed rate debt on the spread of the term structure of interest rates for the Colombian economy in the period 2003-2017. To achieve this objective, first it is estimated the spread of the yield curve at different terms, by using a state-space model; second, the effect of public debt on the spread is determined by means of univariate and multivariate time series models. The results show a positive effect of public debt on the spread of short and long-term. Therefore, it is needed to strengthen fiscal consolidation and establish public debt strategies to mitigate negative impacts on financial markets and economic activity.
Abstract: This document analyzes the effect of issued variable and fixed rate debt on the spread of the term structure of interest rates for the Colombian economy in the period 2003-2017. To achieve this objective, first it is estimated the spread of the yield curve at different terms, by using a state-space model; second, the effect of public debt on the spread is determined by means of univariate and multivariate time series models. The results show a positive effect of public debt on the spread of short and long-term. Therefore, it is needed to strengthen fiscal consolidation and establish public debt strategies to mitigate negative impacts on financial markets and economic activity.