Announcements credibility and government securities: evidence from Colombia

ABSTRACT

This article evaluates the effect of central bank announcements on government securities yields in emerging economy. In particular, based on the Colombian experience, we present empirical evidence to address the effect of credibility scenario in which the central bank announcements are made. The findings denote that credibility performance must be taken into account to verify the impact of monetary policy announcements.

KEYWORDS:

• Central bank announcements
• government securities
• credibility

JEL CLASSIFICATION:

• E58
• E63
• H50

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ See Table A1 (Appendix) for sources of data of the variables.

² Tests regarding unit root are available upon request to the authors.