Una aproximación empírica a la comunicación fiscal y sus efectos sobre los rendimientos de los títulos de deuda pública para el caso colombiano

dc.contributor.advisorGalvis-Ciro, Juan Camilospa
dc.contributor.authorCárdenas-Cardona, Carlos Maurospa
dc.contributor.corporatenameUniversidad Nacional de Colombia - Sede Medellínspa
dc.date.accessioned2020-05-11T22:43:29Zspa
dc.date.available2020-05-11T22:43:29Zspa
dc.date.issued2020spa
dc.description.abstractThis paper presents an analysis to quantify the communication on fiscal policy in Colombia based on information available in the news about the government deficit issued by the main newspapers in the country. An index on the fiscal position is constructed and, by means of an econometric analysis, its effects on the public debt securities returns for the period 2010-2018 are estimated. The results indicate that the greater the fiscal deficit indicated in the fiscal news, the greater the return required in public debt, although the effects are only important in short-term securitiesspa
dc.description.abstractEste trabajo presenta un análisis para cuantificar la comunicación sobre la política fiscal en Colombia, a partir de información disponible en las noticias sobre el déficit del gobierno que emiten los principales periódicos del país. Es construido un índice sobre la postura fiscal y, mediante un análisis econométrico, son estimados sus efectos sobre los retornos de los títulos de deuda pública para el período 2010-2018. Los resultados indican que cuanto mayor es el déficit fiscal señalizado en las noticias fiscales, mayor es el retorno exigido en la deuda pública, aunque los efectos solo son importantes en los títulos de corto plazo.spa
dc.description.degreelevelMaestríaspa
dc.format.extent63spa
dc.format.mimetypeapplication/pdfspa
dc.identifier.citationCárdenas-Cardona, C. M. (2020). Una aproximación empírica a la comunicación fiscal y sus efectos sobre los rendimientos de los títulos de deuda pública para el caso colombiano (Tesis de Maestría). Universidad Nacional de Colombia, Medellín.spa
dc.identifier.urihttps://repositorio.unal.edu.co/handle/unal/77503
dc.language.isospaspa
dc.publisher.branchUniversidad Nacional de Colombia - Sede Medellínspa
dc.publisher.departmentDepartamento de Economíaspa
dc.publisher.programMedellín - Ciencias Humanas y Económicas - Maestría en Ciencias Económicasspa
dc.relation.referencesAlesina, A., Favero, C. y Giavazzi, F. (2019). Effects of Austerity: Expenditure- and Tax-based Approaches. Journal of Economic Perspectives, 33(2), 141-162.spa
dc.relation.referencesAlt, J. E. y Lassen, D. D. (2006). Transparency, political polarization, and political budget cycles in OECD countries. American Journal of Political Science, 50(3), 530–550.spa
dc.relation.referencesAmato, J. D., Morris, S. y Shin, H. S. (2002). Communication and monetary policy. Cowles Foundation Discussion, 1405, 1-21.spa
dc.relation.referencesAndersson, M., Dillen, H. y Sellin, P. (2006). Monetary Policy Signaling and Movements in the Term Structure of Interest Rates. Journal of Monetary Economics, 53(8), 1815-1855.spa
dc.relation.referencesAndritzky, J. R., Bannister, G. J. y Tamirisa, N. T. (2005). The Impact of Macroeconomic Announcements on Emerging Market Bonds. International Monetary Fund, 5(83), 1-31.spa
dc.relation.referencesAnzoátegui, J. C. y Galvis, J. C. (2019). Efectos de la comunicación del banco central sobre los títulos públicos: evidencia empírica para Colombia. Cuadernos de Economía, 38(77), 337-364.spa
dc.relation.referencesArellano, C. (2008). Default Risk and Income Fluctuations in Emerging Economies. American Economic Review, 98(3), 690-712.spa
dc.relation.referencesArroyo, A. y Cossío, F. (2015). Impacto fiscal de la volatilidad del precio del petróleo en América Latina y el Caribe. Comisión Económica para América Latina y el Caribe (CEPAL).spa
dc.relation.referencesBernoth, K. y Wolff, G. B. (2006). Fool the markets? creative accounting, fiscal transparency and sovereign risk premia. CESifo, 1732, 1–36.spa
dc.relation.referencesBlanchard, O., Amighini, A. y Giavazzi, F. (2012). Macroeconomía. (5ª ed.). Pearson Educación.spa
dc.relation.referencesBlinder, A. S., Ehrmann, M., Fratzscher, M., Haan, J. y Jansen, D. J. (2008). Central Bank Monetary of Theory Communication Survey Policy: and Evidence. Journal of Economic Literature, 46(4), 910–945.spa
dc.relation.referencesBorn, B., Ehrmann, M. y Fratzscher, M. (2011). Central Bank Communication on Financial Stability. The Economic Journal, 124(577), 701-734.spa
dc.relation.referencesBoubaker, S., Nguyen, D. K., Piljak, V. y Savvides, A. (2019). Financial development, government bond returns, and stability: International evidence. Journal of International Financial Markets, Institutions and Money, 61(1), 81–96.spa
dc.relation.referencesByrne, J. P. y Fiess, N. (2016). International capital flows to emerging markets: National and global determinants. Journal of International Money and Finance, 61(1), 82-100.spa
dc.relation.referencesConnolly, E. y Kohler, M. (2004). News and interest rate expectations: a study of six central banks. Economic Group. Reserve Bank of Australia, 10(1), 1-52.spa
dc.relation.referencesCrowe, C. y Meade, E. E. (2008). Central bank independence and transparency: Evolution and effectiveness. European Journal of Political Economy, 24(4), 763–777.spa
dc.relation.referencesDa Silva, C. G., De Castro, M. C. y Terra, F. H. B. (2014). The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy. EconomiA, 15(2), 174-188.spa
dc.relation.referencesDe Mendonça, H. F. y Machado, M. R. (2013). Public debt management and credibility: Evidence from an emerging economy. Economic Modelling, 30(1), 10–21.spa
dc.relation.referencesDe Mendonça, H. F. y Nicolay, R. T. F. (2017). Is communication clarity from fiscal authority useful? Evidence from an emerging economy. Journal of Policy Modeling, 39(1), 35–51.spa
dc.relation.referencesDomínguez, J. M. (2014). Desarrollo económico, países emergentes y globalización. EXtoikos (14), 1-10.spa
dc.relation.referencesEhrmann, M. y Sonderman, D. 2012. The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale? International Journal of Central Banking, 8(3), 1-53.spa
dc.relation.referencesEijffinger, S. y Geraats, P. (2005). How Transparent Are Central Banks? European Journal of Political Economy, 22(1), 1–21.spa
dc.relation.referencesFalagiarda, M. y Gregori, W. D. (2015). The impact of fiscal policy announcements by the Italian government on the sovereign spread: a comparative analysis. European Journal of Political Economy, 39(1), 288-304.spa
dc.relation.referencesFratzscher, M. (2005). How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches. European Central Bank, 528, 1-58.spa
dc.relation.referencesGalvis, J. C. (2017). El régimen de metas de inflación: comunicación y credibilidad. Editorial Universidad Pontificia Bolivariana, Medellín.spa
dc.relation.referencesGalvis, J. C., De Moraes, C. y Anzoátegui, J. C. (2017). Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015. Lecturas de Economía, 87(2), 67–95.spa
dc.relation.referencesGarcía, A. (2004). Teoría General sobre reglas fiscales. Quaderns de Política Econòmica, 8(3), 22-37.spa
dc.relation.referencesGerlach, S. (2007). Interest Rate Setting by the ECB, 1999–2006: Words and Deeds. International Journal of Central Banking, 3(3), 1-46.spa
dc.relation.referencesGreene, W. H. (1993). Econometric Analysis (5ª ed.). Prentice Hall.spa
dc.relation.referencesGürkaynak, R., Sack, B. y Swanson, E. (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.spa
dc.relation.referencesGuthrie, G. y Wright. J. (2000). Open Mouth Operations. Journal of Monetary Economics, 46(2), 489-516.spa
dc.relation.referencesHall A. R. (2015). Econometricians Have Their Moments: GMM at 32. Economic Record, 91(1), 1–24.spa
dc.relation.referencesHansen, L. P. (1983). Large sample properties of generalized method of moments estimators. Econometrica, 50(4), 1029-1054.spa
dc.relation.referencesHayo, B., Kutan, A. M. y Neuenkirch, M. (2015). Financial market reaction to Federal Reserve communications: Does the global financial crisis make a difference? Empirica, 42(1), 185-203.spa
dc.relation.referencesHeinemann, F. y Ullrich, K. (2007). Does it Pay to Watch Central Bankers’ Lips? The Information Content of ECB Wording. Swiss Journal of Economics and Statistics, 143(2), 155-185.spa
dc.relation.referencesHernaiz, P., Pineda, E. y Rasteletti, A. (2013). Inversiones públicas y reglas fiscales. Resúmen de políticas del BID, 200, 1-19.spa
dc.relation.referencesIsmihan, M. y Ozkan, F. G. (2012). Public debt and financial development: A theoretical exploration. Economics Letters, 115(3), 348–351.spa
dc.relation.referencesJansen, D. J. y Haan, J. (2005). Talking Heads: The Effects of ECB Statements on the Euro-Dollar Exchange Rate. Journal of International Money and Finance, 24(2), 343–361.spa
dc.relation.referencesKarantounias, A. G. (2013). Managing pessimistic expectations and fiscal policy. Theoretical Economics, 8(1), 193–231.spa
dc.relation.referencesKopits, G. y Symansky, S. A. (1998). Fiscal Policy Rules. Occasional Paper, 162, 1-45.spa
dc.relation.referencesKennedy, M. y Palerm, A. (2014). Emerging Market Bond Spreads: The Role of Global and Domestic Factors from 2002 to 2011. Journal of International Money and Finance, 43(1), 70–87.spa
dc.relation.referencesKohn, D. L. y Sack, B. P. (2003). Central Bank Talk: Does It Matter and Why? Finance and Economics Discussion Series, 55(1), 1–37.spa
dc.relation.referencesKoop, G., Pesaran, M. H. y Potter, S. M. (1996). Impulse Response Analysis in Nonlinear Multivariate Models. Journal of Econometrics, 74(1), 119–147.spa
dc.relation.referencesKuttner, K. N. (2001). Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics, 47(1), 523–544.spa
dc.relation.referencesLeeper, E. M., Richter, A. W. y Walker, T. B. (2010). Quantitative effects of fiscal foresight. NBER Working Papers, 16363, 1-37.spa
dc.relation.referencesLeeper, E. M., Walker, T. B. y Yang, S. S. (2009). Fiscal foresight and information flows. Econometrica, 81(3), 1115-1145.spa
dc.relation.referencesLozano, I., Arias, F., Bejarano, J., González, A., Granger, C., Hamann, F. y Zárate, H. (2019). La política fiscal y la estabilización macroeconómica en Colombia. Ensayos Sobre Política Económica, 90(1), 4–60.spa
dc.relation.referencesLozano, I., Rincón, H., Sarmiento, M. y Ramos, J. (2008). Regla fiscal cuantitativa para consolidar y blindar las finanzas públicas de Colombia. Revista de Economía Institucional, 19(2), 311-352.spa
dc.relation.referencesMartínez, D. A., Moreno, J. F. y Rojas, J. S. (2015). Evolución de la relación entre bonos locales y externos del Gobierno colombiano frente a choques de riesgo. Borradores de Economía, Banco de la República, 919, 1-21.spa
dc.relation.referencesMelo, L. A., Ramos, J. E., Parrado, L. M. y Zárate, H. M. (2016). Bonanzas y crisis de la actividad petrolera y su efecto sobre la economía colombiana. Borradores de Economía, 961, 1–30.spa
dc.relation.referencesMilesi-Ferretti, G. M. (2003). Good, bad or ugly? On the effects of fiscal rules with creative accounting. Journal of Public Economics, 88(1-2), 377–394.spa
dc.relation.referencesMoessner, R. (2015). Reactions of US government bond yields to explicit FOMC forward guidance. North American Journal of Economics and Finance, 33(1), 217–233.spa
dc.relation.referencesMontes, G. C. (2013). Credibility and monetary transmission channels under inflation targeting: An econometric analysis from a developing country. Economic Modelling, 30(1), 670-684.spa
dc.relation.referencesMontes, G. C. y Da Cunha, L. L. (2018). Effects of fiscal transparency on inflation and inflation expectations: Empirical evidence from developed and developing countries. The Quarterly Review of Economics and Finance, 70(1), 26–37.spa
dc.relation.referencesMontes, G. C. y Gea, C. (2018). Central bank transparency, inflation targeting and monetary policy: a panel data approach. Journal of Economic Studies, 45(6), 1159–1174.spa
dc.relation.referencesMontes, G. C., Nicolay, R. T. F. y Acar, T. (2019). Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil. Journal of Economics and Business. 103(3), 38-60.spa
dc.relation.referencesMorris, S. y Shin, H. S. (2002). Social Value of Public Information. The American Economic Review, 92(5), 1521–1534.spa
dc.relation.referencesMosco, V. (2009). The Political Economy of Communication. (2ª ed.). SAGE Publications.spa
dc.relation.referencesPeat, M., Svec, J. y Wang, J. (2015). The effects of fiscal opacity on sovereign credit spreads. Emerging Markets Review, 24(1), 34-45.spa
dc.relation.referencesPerico, D. (2018). Measuring Economic Policy Uncertainty in Colombia: A News Based Approach. Master Thesis. University of Heidelberg, Alemania.spa
dc.relation.referencesPesaran, H. y Shin, Y. (1998). Generalized Impulse Response Analysis in Linear Multivariate Models. Economics Letters, 58(1), 17–29.spa
dc.relation.referencesPicault, M. y Renault, T. (2017). Words are not all created equal: A new measure of ECB communication. Journal of International Money and Finance, 79(1), 136-156.spa
dc.relation.referencesRicco, G. (2015). A new identification of fiscal shocks based on the information flow. European Central Bank, 1813, 1-54.spa
dc.relation.referencesRicco, G., Callegari, G. y Cimadomo, J. (2016). Signals from the government: Policy disagreement and the transmission of fiscal shocks. Journal of Monetary Economics, 82(1), 107–118.spa
dc.relation.referencesRomer, D. (2006). Macroeconomía Avanzada. (3ª ed.). Mc Graw Hill.spa
dc.relation.referencesRosa, C. y 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.spa
dc.relation.referencesSchiller, D. (1999). The Legacy of Robert A. Brady: Antifascist Origins of the Policital Economy of Communications. The Journal of Media Economics, 12 (2), 89-101.spa
dc.relation.referencesSims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.spa
dc.relation.referencesSims, C. A. y Uhlig, H. (1991). Understanding Unit Rooters: A Helicopter Tour. Econometrica, 59(6), 1591-1599.spa
dc.relation.referencesToro, J., Garavito, A., López, D. C. y Montes, E. (2015). El choque petrolero y sus implicaciones en la economía colombiana. Borradores de Economía, Banco de la República, 906, 1-63.spa
dc.relation.referencesVon Hagen, J. y Wolff, G. B. (2006). What do deficits tell us about debt? Empirical evidence on creative accounting with fiscal rules in the EU. Journal of Banking & Finance, 30(12), 3259-3279.spa
dc.relation.referencesWeber, C. S. (2018). Central bank transparency and inflation (volatility) – New Evidence. International Economics and Economic Policy, 15(1), 21–67.spa
dc.relation.referencesWyplosz, C. (2005). Fiscal discipline in EMU: rules or institutions? National Institute Economic Review, 191(1). 61-78.spa
dc.rightsDerechos reservados - Universidad Nacional de Colombiaspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.rights.licenseAtribución-NoComercial 4.0 Internacionalspa
dc.rights.spaAcceso abiertospa
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/spa
dc.subject.ddc330 - Economíaspa
dc.subject.proposalColombia - Deuda públicaspa
dc.subject.proposalPublic debteng
dc.subject.proposalColombia- Politica fiscalspa
dc.subject.proposalFiscal policyeng
dc.titleUna aproximación empírica a la comunicación fiscal y sus efectos sobre los rendimientos de los títulos de deuda pública para el caso colombianospa
dc.title.alternativeAn empirical approach to fiscal communication and its effects on government bonds in the Colombian casespa
dc.typeTrabajo de grado - Maestríaspa
dc.type.coarhttp://purl.org/coar/resource_type/c_bdccspa
dc.type.coarversionhttp://purl.org/coar/version/c_ab4af688f83e57aaspa
dc.type.contentTextspa
dc.type.driverinfo:eu-repo/semantics/masterThesisspa
dc.type.versioninfo:eu-repo/semantics/acceptedVersionspa
oaire.accessrightshttp://purl.org/coar/access_right/c_abf2spa

Archivos

Bloque original

Mostrando 1 - 1 de 1
Cargando...
Miniatura
Nombre:
1020409197.2019.pdf
Tamaño:
1.32 MB
Formato:
Adobe Portable Document Format
Descripción:
Tesis de Maestría en Ciencias Económicas

Bloque de licencias

Mostrando 1 - 1 de 1
Cargando...
Miniatura
Nombre:
license.txt
Tamaño:
3.9 KB
Formato:
Item-specific license agreed upon to submission
Descripción: