El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia

Abstract

This article tests the hypothesis that the term structure of interest rates contains information about future economic activity in Colombia. According to the multilogit approach used to verify the hypothesis that an increase in the spread of interest rates reduce the probability of having a rather poor economic performance in the future. This result, in correspondence with the theoretical model, holds for the period between 12 and 24 months ahead. The inclusion of monetary variables in the empirical model affects neither the statistical significance nor the signs of both the spread the inflation differential for the period between 12 and 24 months ahead. However, the growth of monetary base also contains information about the economic environment in the next future.