Midterm Exam 2

D0106228
D0106290
D0106223

Table of Contents

Financial markets II
Nominal and real interest rate
• Enter into the Bank of the Republic (Colombia) using the route:
http://www.banrep.gov.co/ > Estadísticas > Precios e inflación > 1. Inflación al
consumidor > Índice de precios al consumidor (IPC) - Base diciembre 2008 = 100 >
DESCARGAR: Serie total.
1. Calculate the annual inflation using the monthly CPI that you can find in the
column “IPC”. (5 points)
Observation 1: If the CPI is measured monthly then to calculate the annual inflation
𝐶𝑃𝐼𝑡 −𝐶𝑃𝐼𝑡−12
for a particular month you must use the formula, 𝜋𝑡 = 𝐶𝑃𝐼 . For example if
𝑡−12
you want to calculate the inflation of January 2000 you need to use the CPI of
January 2000 and January 1999.
Observation 2: If the calculations are correct, you will get the same results as in the
column “Variación anual”.

FORMULA: Tasa Inflación Anual t = IPC t – IPC t-12/IPC t-12*100

Fórmula tasa de Inflación anual
FECHA IPC 2001
2001-01 62.64044 8.492169021
2001-02 63.82616 8.058262672
2001-03 64.77157 7.814295041
2001-04 65.51484 7.975932393
2001-05 65.78895 7.865412448
2001-06 65.81547 7.92979344
2001-07 65.88726 8.089513852
2001-08 66.05898 8.030238077
2001-09 66.30408 7.971152732
2001-10 66.42691 8.005887643
2001-11 66.50455 7.778175026
2001-12 66.72893 7.646354894
Fórmula tasa de Inflación anual
2002
2002-01 67.26002 7.374758812
2002-02 68.10520 6.70421376
2002-03 68.58761 5.891535801
2002-04 69.21518 5.648086409
2002-05 69.62961 5.837852532
2002-06 69.92821 6.248896061
2002-07 69.94400 6.157099544
2002-08 70.01001 5.981075153
2002-09 70.26220 5.969645852
2002-10 70.65505 6.365099243
2002-11 71.20492 7.067743273
2002-12 71.39513 6.992773809
Fórmula tasa de Inflación anual
2003
2003-01 72.23341 7.394278645
2003-02 73.03558 7.239359215
2003-03 73.80035 7.600129679
2003-04 74.64728 7.848136895
2003-05 75.01296 7.731404342
2003-06 74.97195 7.212746273
2003-07 74.86465 7.035128002
2003-08 75.09592 7.264535146
2003-09 75.26122 7.114801111
2003-10 75.30658 6.583434309
2003-11 75.56889 6.128741969
2003-12 76.02913 6.490637296
Fórmula tasa de Inflación anual
2004
2004-01 76.70288 6.187545433
2004-02 77.62288 6.28091139
2004-03 78.38691 6.214817157
2004-04 78.74445 5.488699582
2004-05 79.04433 5.37423526
2004-06 79.52133 6.068114889
2004-07 79.49675 6.187303271
2004-08 79.52074 5.892228625
2004-09 79.75630 5.972644424
2004-10 79.74837 5.89827593
2004-11 79.96987 5.823800056
2004-12 80.20885 5.49752312
Fórmula tasa de Inflación anual
2005
2005-01 80.86822 5.430481597
2005-02 81.69507 5.246120799
2005-03 82.32699 5.026450207
2005-04 82.68815 5.008232581
2005-05 83.02540 5.036492559
2005-06 83.35831 4.825093915
2005-07 83.39888 4.908535008
2005-08 83.40016 4.87850729
2005-09 83.75696 5.016097536
2005-10 83.94967 5.268189048
2005-11 84.04563 5.096620765
2005-12 84.10291 4.854901982
Fórmula tasa de Inflación anual
2006
2006-01 84.55834 4.563125045
2006-02 85.11449 4.185585546
2006-03 85.71228 4.112007546
2006-04 86.09607 4.12141638
2006-05 86.37832 4.038428194
2006-06 86.64117 3.938247934
2006-07 86.99909 4.316858931
2006-08 87.34044 4.724537529
2006-09 87.59040 4.576859155
2006-10 87.46374 4.185928456
2006-11 87.67102 4.313590078
2006-12 87.86896 4.477910455
Fórmula tasa de Inflación anual
2007
2007-01 88.54252 4.711752968
2007-02 89.58025 5.246768453
2007-03 90.66685 5.780461029
2007-04 91.48253 6.256336381
2007-05 91.75661 6.226434118
2007-06 91.86894 6.03381748
2007-07 92.02048 5.771775181
2007-08 91.89765 5.217757388
2007-09 91.97430 5.005001918
2007-10 91.97976 5.163300815
2007-11 92.41584 5.412074903
2007-12 92.87228 5.694062874
Fórmula tasa de Inflación anual
2008
2008-01 93.85245 5.997045397
2008-02 95.27039 6.352007562
2008-03 96.03972 5.925952249
2008-04 96.72265 5.728000495
2008-05 97.62382 6.39431999
2008-06 98.46550 7.180402943
2008-07 98.94005 7.519589877
2008-08 99.12932 7.869266772
2008-09 98.94017 7.573718123
2008-10 99.28265 7.939679683
2008-11 99.55967 7.730094007
2008-12 100.00000 7.674758529
Fórmula tasa de Inflación anual
2009
2009-01 100.58933 7.178155482
2009-02 101.43129 6.466746908
2009-03 101.93732 6.140795704
2009-04 102.26473 5.729866552
2009-05 102.27913 4.768623214
2009-06 102.22182 3.814862097
2009-07 102.18207 3.276757085
2009-08 102.22713 3.125020995
2009-09 102.11512 3.208957462
2009-10 101.98473 2.721594247
2009-11 101.91776 2.368519372
2009-12 102.00181 2.001808
Fórmula tasa de Inflación anual
2010
2010-01 102.70133 2.099624326
2010-02 103.55215 2.09093575
2010-03 103.81247 1.839507792
2010-04 104.29044 1.980841235
2010-05 104.39815 2.071797072
2010-06 104.51684 2.245134116
2010-07 104.47279 2.241803239
2010-08 104.59005 2.311436309
2010-09 104.44808 2.284638184
2010-10 104.35595 2.325073681
2010-11 104.55843 2.590982256
2010-12 105.23651 3.17122222
Fórmula tasa de Inflación anual
2011
2011-01 106.19253 3.399373831
2011-02 106.83242 3.16774694
2011-03 107.12039 3.186443848
2011-04 107.24806 2.835951351
2011-05 107.55352 3.022440677
2011-06 107.89544 3.232590109
2011-07 108.04537 3.419624284
2011-08 108.01191 3.271693783
2011-09 108.34540 3.731344798
2011-10 108.55100 4.019949223
2011-11 108.70205 3.962973697
2011-12 109.15740 3.725786731
Fórmula tasa de Inflación anual
2012
2012-01 109.95503 3.5430958
2012-02 110.62660 3.551527777
2012-03 110.76164 3.399205197
2012-04 110.92154 3.425219967
2012-05 111.25436 3.440927924
2012-06 111.34646 3.198483643
2012-07 111.32241 3.033025848
2012-08 111.36807 3.107211944
2012-09 111.68694 3.084160529
2012-10 111.86942 3.057014647
2012-11 111.71648 2.773111429
2012-12 111.81576 2.435344741
Fórmula tasa de Inflación anual
2013
2013-01 112.14896 1.995292057
2013-02 112.64705 1.826369048
2013-03 112.87881 1.911469599
2013-04 113.16432 2.02195258
2013-05 113.47973 2.000255163
2013-06 113.74622 2.155218085
2013-07 113.79727 2.223146185
2013-08 113.89218 2.266459318
2013-09 114.22579 2.273176174
2013-10 113.92928 1.841306571
2013-11 113.68292 1.76020315
2013-12 113.98254 1.937815402
Fórmula tasa de Inflación anual
2014
2014-01 114.53678 2.129154926
2014-02 115.25924 2.31891379
2014-03 115.71358 2.511338465
2014-04 116.24321 2.720724068
2014-05 116.80555 2.930765775
2014-06 116.91441 2.785316368
2014-07 117.09130 2.894640517
2014-08 117.32919 3.017771668
2014-09 117.48858 2.85644349
2014-10 117.68219 3.294073306
2014-11 117.83730 3.654358201
2014-12 118.15166 3.657679437
Fórmula tasa de Inflación anual
2015
2015-01 118.91290 3.8207072
2015-02 120.27993 4.355996138
2015-03 120.98456 4.555199139
2015-04 121.63437 4.637821737
2015-05 121.95433 4.407994236
2015-06 122.08236 4.420282362
2015-07 122.30851 4.455677047
2015-08 122.89561 4.74427642
2015-09 123.77501 5.350669827
2015-10 124.61929 5.894769433
2015-11 125.37075 6.393092109
2015-12 126.14945 6.769089097
Fórmula tasa de Inflación anual
2016
2016-01 127.77754 7.454740716
2016-02 129.41261 7.592855456
2016-03 130.63385 7.975633983
2016-04 131.28192 7.931603803
2016-05 131.95119 8.197208473
 2016-06 132.58412 8.602192277
2016-07 133.27352 8.965049414
2016-08 132.84716 8.097565959
2016-09 132.77698 7.272852001
2016-10 132.69744 6.482267817
2016-11 132.84598 5.962503453
2016-12 133.39977 5.747408378
Fórmula tasa de Inflación anual
2017
2017-01 134.76594 5.469188745
2017-02 136.12133 5.183980219
2017-03 136.75543 4.686056485
2017-04 137.40327 4.662749377
2017-05 137.71286 4.366522362
2017-06 137.87074 3.987372846
2017-07 137.80022 3.396541837
2017-08 137.99321 3.873662728
2017-09 138.04879 3.970425476
2017-10 138.07187 4.050136037
2017-11 138.32156 4.121749111
2017-12 138.85399 4.08862165
Fórmula tasa de Inflación anual
2018
2018-01 139.72469 3.679527686
2018-02 140.71151 3.37211878
2018-03 141.04936 3.139860059
2018-04 141.70071 3.127612633
2018-05 142.06016 3.156784272
2018-06 142.27987 3.198021614
2018-07 142.09842 3.119154785
2018-08 142.26858 3.098240781
2018-09 142.50332 3.226776562
2018-10 142.67484 3.33375
2018-11 142.84204 3.268097226
2018-12 143.26677 3.178000977

• Enter into the Bank of the Republic (Colombia) using the route:
http://www.banrep.gov.co/ > Estadísticas > Tasas de interés y sector financiero > 1.
Tasas de interés de política monetaria > Tasas de interés de política monetaria >
DESCARGAR: Diaria [xls]
 2. Calculatate the mode (in statistics the mode is the value that appears most
frequently) of the interest rate fixed by the Bank of the Republic (Colombia) (in
the data it refers to the column “Tasa de intervención de política monetaria”)
for each month in each year. (5 points)

Moda en la tasa de interés fijada por el Banco de la República de Colombia

AÑO ENE FEB MAR ABR MAY JUN JUL AGO SEPT OCT NOV DIC

1999 26% 24% 23% 19, 20% 18, 19% 18% 18% 16% 16% 16% 13% 12%

2000 12% 12% 12% 12% 12% 12% 12% 12% 12% 12% 12% 12%

2001 12% 12% 11,5% 11,5% 11,5% 11,5% 11,5% 11% 9,5, 10% 9,25% 8,75% 8,75%

2002 8,5% 8% 8% 6,25% 6,25% 5,25% 5,25% 5,25% 5,25% 5,25% 5,25% 5,25%

2003 5,25% 6,25% 6,25% 6,25% 7,25% 7,25% 7,25% 7,25% 7,25% 7,25% 7,25% 7,25%

2004 7,25% 7,25% 7% 6,75% 6,75% 6,75% 6,75% 6,75% 6,75% 6,75% 6,75% 6,75%

2005 6,5% 6,5% 6,5% 6,5% 6,5% 6,5% 6,5% 6,5% 6,5% 6% 6% 6%

2006 6% 6% 6% 6% 6,25% 6,25% 6,5% 6,5% 6,75% 7% 7,25% 7,25%

2007 7,5% 7,75% 8% 8,25% 8,5% 8,75% 9% 9,25% 9,25% 9,25% 9,25% 9,5%

2008 9,5% 9,5% 9,75% 9,75% 9,75% 9,75% 9,75% 10% 10% 10% 10% 10%

2009 9,5% 9% 8% 7% 6% 5% 4,5% 4,5% 4,5% 4% 4% 3,5%

2010 3,5% 3,5% 3,5% 3,5% 3% 3% 3% 3% 3% 3% 3% 3%

2011 3% 3% 3,25% 3,5% 3,75% 4% 4,25% 4,5% 4,5% 4,5% 4,5% 4,75%

2012 4,75% 5% 5,25% 5,25% 5,25% 5,25% 5,25% 5% 4,75% 4,75% 4,75% 4,5%

2013 4,25% 4% 3,75% 3,25% 3,25% 3,25% 3,25% 3,25% 3,25% 3,25% 3,25% 3,25%

2014 3,25% 3,25% 3,25% 3,25% 3,5% 3,75% 4% 4,25% 4,5% 4,5% 4,5% 4,5%

2015 4,5% 4,5% 4,5% 4,5% 4,5% 4,5% 4,5% 4,5% 4,5% 4,75% 5,25% 5,5%

2016 5,75% 6% 6,25% 6,5% 7% 7,25% 7,5% 7,75% 7,75% 7,75% 7,75% 7,75%
2017 7,5% 7,5% 7,25% 7% 6,5% 6,25% 5,75% 5,5% 5,25% 5,25% 5% 4,75%

2018 4,75% 4,5% 4,5% 4,5% 4,25% 4,25% 4,25% 4,25% 4,25% 4,25% 4,25% 4,25%

2019 4,25% 4,25% 4,25% 4,25% 4,25% 4,25% 4,25% 4,25% - - - -

3. Calculate the real interest rate for each month in each year using the
information found in point 1 and point 2, the information available and the
formula 𝑟𝑡 = 𝑖𝑡 − 𝜋𝑡+12. (5 points)

Observation 1: The interest rate fixed by the Bank of the Republic (Colombia) is
measure daily but the inflation is measure monthly. Therefore we are using the
mode of the interest rate fixed by the Bank of the Republic (Colombia) for each
month in each year so 𝑖𝑡 and 𝜋𝑡+12 is measure using the same periods. In that way all
the variables are expressed monthly and 𝑖𝑡 will be equal to the mode of the interest
rate fixed by the Bank of the Republic (Colombia) for each month in each year.
Observation 2: To calculate the real interest rate, keep in mind that it is not
necessary to estimate an expected inflation rate since there is information from
subsequent periods. Therefore 𝜋𝑡+12 is a variable that you already calculate in point
1.
Observation 3: To calculate the real interest rate, keep in mind that the nominal
interest rate is expressed as annual effective overdue. In that sense, 𝜋𝑡+12 must be
the inflation but 12 months later and that is why 𝜋 has a subscript equal to 𝑡 + 12.

AÑO/MES INTERES INFLACIÓN TASA DE

INTERES
% *INFLACIÓN DE 12 MESES REAL 𝒓𝒕 =
DESPUES (T+12) 𝒊𝒕 − 𝝅𝒕+𝟏𝟐
2002-01 8.5 1.107
7.394278645
2002-02 8 0.761
7.239359215
2002-03 8 0.4
7.600129679
2002-04 6.25 -1.598
7.848136895
2002-05 6.25 1.481
7.731404342
2002-06 5.25 -1.962
7.212746273
2002-07 5.25 -1.785
7.035128002
2002-08 5.25 -2.014
7.264535146
2002-09 5.25 -1.864
7.114801111
2002-10 5.25 -1.333
6.583434309
2002-11 5.25 -0.878
6.128741969
2002-12 5.25 -1.24
6.490637296

2003-01 5.25 0.937

6.187545433
2003-02 6.25 0.03
6.28091139
2003-03 6.25 0.036
6.214817157
2003-04 6.25 0.762
5.488699582
2003-05 7.25 1.876
5.37423526
2003-06 7.25 1.182
6.068114889
2003-07 7.25 1.063
6.187303271
2003-08 7.25 1.358
5.892228625
2003-09 7.25 1.28
5.972644424
2003-10 7.25 1.352
5.89827593
2003-11 7.25 1.427
5.823800056
2003-12 7.25 1.753
5.49752312

2004-01 7.25 1.82

5.430481597
2004-02 7.25 2.004
5.246120799
2004-03 7 1.974
5.026450207
2004-04 6.75 1.742
5.008232581
2004-05 6.75 1.714
5.036492559
2004-06 6.75 1.925
4.825093915
2004-07 6.75 1.842
4.908535008
2004-08 6.75 1.872
4.87850729
2004-09 6.75 1.734
5.016097536
2004-10 6.75 1.482
5.268189048
2004-11 6.75 1.654
5.096620765
2004-12 6.75 1.896
4.854901982

2005-01 6.5 1.937

4.563125045
2005-02 6.5 2.315
4.185585546
2005-03 6.5 2.388
4.112007546
2005-04 6.5 2.379
4.12141638
2005-05 6.5 2.462
4.038428194
2005-06 6.5 2.562
3.938247934
2005-07 6.5 2.184
4.316858931
2005-08 6.5 1.776
4.724537529
2005-09 6.5 1.924
4.576859155
2005-10 6 1.815
4.185928456
2005-11 6 1.687
4.313590078
2005-12 6 1.523
4.477910455

2006-01 6 1.289
4.711752968
2006-02 6 0.754
5.246768453
2006-03 6 0.22
5.780461029
2006-04 6 -0.256
6.256336381
2006-05 6.25 0.024
6.226434118
2006-06 6.25 0.217
6.03381748
2006-07 6.5 0.729
5.771775181
2006-08 6.5 1.283
5.217757388
2006-09 6.75 1.745
5.005001918
2006-10 7 1.837
5.163300815
2006-11 7.25 1.838
5.412074903
2006-12 7.25 1.556
5.694062874

2007-01 7.5 1.503

5.997045397
2007-02 7.75 1.398
6.352007562
2007-03 8 2.075
5.925952249
2007-04 8.25 2.522
5.728000495
2007-05 8.5 2.11
6.39431999
2007-06 8.75 1.57
7.180402943
2007-07 9 1.481
7.519589877
2007-08 9.25 1.381
7.869266772
2007-09 9.25 1.677
7.573718123
2007-10 9.25 1.311
7.939679683
2007-11 9.25 1.52
7.730094007
2007-12 9.5 1.826
7.674758529

2008-01 9.5 2.322

7.178155482
2008-02 9.5 3.034
6.466746908
2008-03 9.75 3.61
6.140795704
2008-04 9.75 4.46
5.729866552
2008-05 9.75 4.982
4.768623214
2008-06 9.75 5.936
3.814862097
2008-07 9.75 6.474
3.276757085
2008-08 10 6.875
3.125020995
2008-09 10 6.792
3.208957462
2008-10 10 7.279
2.721594247
2008-11 10 7.632
2.368519372
2008-12 10 7.999
2.001808

2009-01 9.5 7.401

2.099624326
2009-02 9 6.91
2.09093575
2009-03 8 6.161
1.839507792
2009-04 7 5.02
1.980841235
2009-05 6 3.929
2.071797072
2009-06 5 2.755
2.245134116
2009-07 4.5 2.259
2.241803239
2009-08 4.5 2.189
2.311436309
2009-09 4.5 2.216
2.284638184
2009-10 4 1.675
2.325073681
2009-11 4 1.41
2.590982256
2009-12 3.5 0.329
3.17122222

2010-01 3.5 0.101

3.399373831
2010-02 3.5 0.333
3.16774694
2010-03 3.5 0.314
3.186443848
2010-04 3.5 0.665
2.835951351
2010-05 3 -0.022
3.022440677
2010-06 3 -0.232
3.232590109
2010-07 3 -0.419
3.419624284
2010-08 3 -0.271
3.271693783
2010-09 3 -0.731
3.731344798
2010-10 3 -1.019
4.019949223
2010-11 3 -0.962
3.962973697
2010-12 3 -0.725
3.725786731
2011-01 3 -0.543
3.5430958
2011-02 3 -0.551
3.551527777
2011-03 3.25 -0.149
3.399205197
2011-04 3.5 0.075
3.425219967
2011-05 3.75 0.31
3.440927924
2011-06 4 0.802
3.198483643
2011-07 4.25 1.217
3.033025848
2011-08 4.5 1.393
3.107211944
2011-09 4.5 1.416
3.084160529
2011-10 4.5 1.443
3.057014647
2011-11 4.5 1.727
2.773111429
2011-12 4.75 2.315
2.435344741

2012-01 4.75 2.755

1.995292057
2012-02 5 3.174
1.826369048
2012-03 5.25 3.339
1.911469599
2012-04 5.25 3.229
2.02195258
2012-05 5.25 3.25
2.000255163
2012-06 5.25 3.095
2.155218085
2012-07 5.25 3.027
2.223146185
2012-08 5 2.734
2.266459318
2012-09 4.75 2.477
2.273176174
2012-10 4.75 2.909
1.841306571
2012-11 4.75 2.99
1.76020315
2012-12 4.5 2.563
1.937815402
2013-01 4.25 2.121
2.129154926
2013-02 4 1.682
2.31891379
2013-03 3.75 1.239
2.511338465
2013-04 3.25 0.53
2.720724068
2013-05 3.25 0.32
2.930765775
2013-06 3.25 0.465
2.785316368
2013-07 3.25 0.356
2.894640517
2013-08 3.25 0.233
3.017771668
2013-09 3.25 0.394
2.85644349
2013-10 3.25 -0.044
3.294073306
2013-11 3.25 -0.404
3.654358201
2013-12 3.25 -0.407
3.657679437

2014-01 3.25 -0.57

3.8207072
2014-02 3.25 -1.105
4.355996138
2014-03 3.25 -1.305
4.555199139
2014-04 3.25 -1.387
4.637821737
2014-05 3.5 -0.907
4.407994236
2014-06 3.75 -0.67
4.420282362
2014-07 4 -0.455
4.455677047
2014-08 4.25 -0.494
4.74427642
2014-09 4.5 -0.85
5.350669827
2014-10 4.5 -1.394
5.894769433
2014-11 4.5 -1.893
6.393092109
2014-12 4.5 -2.269
6.769089097

2015-01 4.5 -2.954

7.454740716
2015-02 4.5 -3.092
7.592855456
2015-03 4.5 -3.475
7.975633983
2015-04 4.5 -3.431
7.931603803
2015-05 4.5 -3.697
8.197208473
2015-06 4.5 -4.102
8.602192277
2015-07 4.5 -4.465
8.965049414
2015-08 4.5 -3.597
8.097565959
2015-09 4.5 -2.772
7.272852001
2015-10 4.75 -1.732
6.482267817
2015-11 5.25 -0.712
5.962503453
2015-12 5.5 -0.247
5.747408378

2016-01 5.75 0.281

5.469188745
2016-02 6 0.817
5.183980219
2016-03 6.25 1.564
4.686056485
2016-04 6.5 1.838
4.662749377
2016-05 7 2.634
4.366522362
2016-06 7.25 3.263
3.987372846
2016-07 7.5 4.104
3.396541837
2016-08 7.75 3.877
3.873662728
2016-09 7.75 3.78
3.970425476
2016-10 7.75 3.73
4.050136037
2016-11 7.75 3.629
4.121749111
2016-12 7.75 3.662
4.08862165

2017-01 7.5 3.821

3.679527686
2017-02 7.5 4.128
3.37211878
 2017-03 7.25 4.111
3.139860059
2017-04 7 3.873
3.127612633
2017-05 6.5 3.344
3.156784272
2017-06 6.25 3.052
3.198021614
2017-07 5.75 2.631
3.119154785
2017-08 5.5 2.402
3.098240781
2017-09 5.25 2.024
3.226776562
2017-10 5.25 1.917
3.33375
2017-11 5 1.732
3.268097226
2017-12 4.75 1.572
3.178000977

4. Calculate the real interest rate for each month in each year using the
information found in point 1 and point 2, the information available, the formula
1+𝑖
1 + 𝑟𝑡 = 1+𝜋 𝑡 and taking into account the observations pointed out in point 3.
𝑡+12
(5 points)
Observation 1: Take into account that the objective is to calculate 𝑟𝑡 and not 1 + 𝑟𝑡 .
AÑO/MES INTERES INFLACIÓN TASA DE INTERES
REAL:
% *INFLACIÓN DE 12 1+rt=1+i/1+tt
MESES DESPUES (T+12) (t+12) es decir rt=
1+i/1+tt (t+12) - 1
2010-01 3.5 0.097
3.399373831
2010-02 3.5 0.322
3.16774694
2010-03 3.5 0.304
3.186443848
2010-04 3.5 0.646
2.835951351
2010-05 3 -0.021
3.022440677
2010-06 3 -0.224
3.232590109
2010-07 3 -0.405
3.419624284
2010-08 3 -0.262
3.271693783
2010-09 3 -0.300
3.731344798
2010-10 3 -0.979
4.019949223
2010-11 3 -0.925
3.962973697
2010-12 3 -0.698
3.725786731

2011-01 3 -0.524
3.5430958
2011-02 3 -0.532
3.551527777
2011-03 3.25 -0.144
3.399205197
2011-04 3.5 0.072
3.425219967
2011-05 3.75 0.299
3.440927924
2011-06 4 0.777
3.198483643
2011-07 4.25 1.181
3.033025848
2011-08 4.5 1.351
3.107211944
2011-09 4.5 1.373
3.084160529
2011-10 4.5 1.400
3.057014647
2011-11 4.5 1.680
2.773111429
2011-12 4.75 2.259
2.435344741

2012-01 4.75 2.70

1.995292057
2012-02 5 3.117
1.826369048
2012-03 5.25 3.276
1.911469599
2012-04 5.25 3.165
2.02195258
2012-05 5.25 3.186
2.000255163
2012-06 5.25 3.029
2.155218085
2012-07 5.25 2.961
2.223146185
2012-08 5 2.673
2.266459318
2012-09 4.75 2.421
2.273176174
2012-10 4.75 2.856
1.841306571
2012-11 4.75 2.938
1.76020315
2012-12 4.5 2.514
1.937815402

2013-01 4.25 2.076

2.129154926
2013-02 4 1.643
2.31891379
2013-03 3.75 1.208
2.511338465
2013-04 3.25 0.515
2.720724068
2013-05 3.25 0.310
2.930765775
2013-06 3.25 0.452
2.785316368
2013-07 3.25 0.345
2.894640517
2013-08 3.25 0.226
3.017771668
2013-09 3.25 0.383
2.85644349
2013-10 3.25 -0.042
3.294073306
2013-11 3.25 -0.389
3.654358201
2013-12 3.25 -0.392
3.657679437

2014-01 3.25 -0.549

3.8207072
2014-02 3.25 -1.058
4.355996138
2014-03 3.25 -1.248
4.555199139
2014-04 3.25 -1.325
4.637821737
2014-05 3.5 -0.868
4.407994236
2014-06 3.75 -0.641
4.420282362
2014-07 4 -0.435
4.455677047
2014-08 4.25 -0.471
4.74427642
2014-09 4.5 -0.806
5.350669827
2014-10 4.5 -1.316
5.894769433
2014-11 4.5 -1.779
6.393092109
2014-12 4.5 -2.125
6.769089097

2015-01 4.5 -2.749

7.454740716
2015-02 4.5 -2.873
7.592855456
2015-03 4.5 -3.218
7.975633983
2015-04 4.5 -3.178
7.931603803
2015-05 4.5 -3.416
8.197208473
2015-06 4.5 -3.777
8.602192277
2015-07 4.5 -4.097
8.965049414
2015-08 4.5 -3.327
8.097565959
2015-09 4.5 -2.584
7.272852001
2015-10 4.75 -1.626
6.482267817
2015-11 5.25 -0.671
5.962503453
2015-12 5.5 -0.233
5.747408378

2016-01 5.75 0.266

5.469188745
2016-02 6 0.776
5.183980219
2016-03 6.25 1.493
4.686056485
2016-04 6.5 1.756
4.662749377
2016-05 7 2.523
4.366522362
2016-06 7.25 3.137
3.987372846
2016-07 7.5 3.969
3.396541837
2016-08 7.75 3.732
3.873662728
2016-09 7.75 3.635
3.970425476
2016-10 7.75 3.555
4.050136037
2016-11 7.75 3.485
4.121749111
 2016-12 7.75 3.518
4.08862165

2017-01 7.5 3.685

3.679527686
2017-02 7.5 3.993
3.37211878
2017-03 7.25 3.985
3.139860059
2017-04 7 3.755
3.127612633
2017-05 6.5 3.241
3.156784272
2017-06 6.25 2.957
3.198021614
2017-07 5.75 2.551
3.119154785
2017-08 5.5 2.329
3.098240781
2017-09 5.25 1.960
3.226776562
2017-10 5.25 1.855
3.33375
2017-11 5 1.677
3.268097226
2017-12 4.75 1.523
3.178000977

5. Plot the values of the interest rate fixed by the Bank of the Republic
(Colombia) and the real interest rate for each month in each year using both
1+𝑖
formulas, 𝑟𝑡 = 𝑖𝑡 − 𝜋𝑡+12 and 1 + 𝑟𝑡 = 1+𝜋 𝑡 , where the x-axis corresponds to
𝑡+12
the date and y-axis corresponds to the value of these variables. (5 points)

Observation 1: In the development of items 1 to 4, you will lose information from

some periods. Therefore, when there is no data, do not indicate in the plot that a
variable is equal to zero. It is not the same that a variable is equal to zero and that
there is no data of this variable.
 COMPARACIÓN TASAS DE INTERES REAL
20,00%

15,00%
INTERÉS REAL %

10,00%

5,00%

0,00%
jul-00

jul-03

jul-06

jul-09

jul-12

jul-15

jul-18
ene-14
ene-99

ene-02

ene-05

ene-08

ene-11

ene-17
oct-99

oct-02

oct-05

abr-07

oct-08

oct-11

oct-14

oct-17
abr-01

abr-04

abr-10

abr-13

abr-16
-5,00%
FECHA MES/AÑO

INTERÉS REAL APROXIMADO INTERÉS REAL

Exercise 8
This exercises is taken from:
Oliver Blanchard (2017) Macroeconomics (7 Edition) > Chapter 6 Financial
Markets II: The extended IS-LM model > Questions and Problems > Exercise 8
In Chapter 6 the following formula is presented:
(1 + 𝑖𝑡 ) = (1 − 𝑝𝑡 )(1 + 𝑖𝑡 + 𝑥𝑡 ) + 𝑝𝑡 ∗ 0
Where 𝑝𝑡 is the probability the bond does not pay at all (the bond issuer is
bankrupt) and has a zero return, 𝑖𝑡 is the nominal policy interest rate and 𝑥𝑡 is the
risk premium.
6. If the probability of bankruptcy is zero, what is the rate of interest on the risk
bond? (5 points)

La fórmula presentada en el libro es: (1 + i) = (1 - p) (1 + i + x) + p (0).

La podemos reorganizar como x = (1 + i) p / (1 - p).

Sí la probabilidad de quiebra de un bono es 0, la tasa de interés del bono de riesgo, o
la prima de riesgo, será igual a (1 + i).
 7. Calculate the probability of bankruptcy when the nominal interest rate for a
risk borrower is 0.08(8%) and the nominal policy interest rate is 0.03(3%). (5
points)

X = (1 + 0.08) 0.03 / (1 - 0.03)

X= (1.08) 0.03 / (0.97)

X=0.0324 / 0.97

X= 0.0334 * 100

X=3.34%

La probabilidad de bancarrota sería de 3.34%

8. Calculate the nominal interest rate for a borrower when the probability of
bankruptcy is 0.01 and the nominal policy interest rate is 0.04(4%). (5 points)

9. The formula assumes that payment upon default is zero. In fact, it is often
positive. How would you change the formula in this case? (5 points)

(1 + 𝑖𝑡 ) = (1 − 𝑝𝑡 )(1 + 𝑖𝑡 + 𝑥𝑡 ) + 𝑝𝑡 (0)

Como se asume que el pago realizado en caso de incumplimiento es positivo,

entonces, podemos cambiar 𝑃(0) en la fórmula por 𝑃(1 + 𝑦𝑡 ), donde 1 + 𝑦𝑡 es el
rendimiento en caso de incumplimiento de pagos y se supone mayor que cero.

Al reemplazar tenemos:
 (1 + 𝑖𝑡 ) = (1 − 𝑝𝑡 )(1 + 𝑖𝑡 + 𝑥𝑡 ) + 𝑝𝑡 (1 + 𝑦𝑡 )

Al buscar el valor de (1 + 𝑦𝑡 ) de tal forma que el rendimiento de un bono sin

riesgo sea igual al rendimiento esperado de un bono con riesgo, tenemos:
(1 + 𝑖𝑡 ) = (1 − 𝑝𝑡 )(1 + 𝑖𝑡 + 𝑥𝑡 ) + 𝑝𝑡 (1 + 𝑦𝑡 )

(1 + 𝑖𝑡 ) − [(1 − 𝑝𝑡 )(1 + 𝑥𝑡 + 𝑖𝑡 )] = 𝑝𝑡 (1 + 𝑦𝑡 )

(1 + 𝑖𝑡 ) − [1 + 𝑥 + 𝑖𝑡 − 𝑝𝑡 − 𝑝𝑡 𝑥𝑡 − 𝑝𝑡 𝑖𝑡 ] = 𝑝𝑡 (1 + 𝑦𝑡 )

𝟏 + 𝒊𝒕 − 𝟏 − 𝑥 − 𝒊𝒕 + 𝑝𝑡 + 𝑝𝑡 𝑥𝑡 + 𝑝𝑡 𝑖𝑡 = 𝑝𝑡 (1 + 𝑦𝑡 )
−𝑥 + 𝑝𝑡 + 𝑝𝑡 𝑥𝑡 + 𝑝𝑡 𝑖𝑡
= 1 + 𝑦𝑡
𝑝𝑡
−𝑥 𝑝𝑡 𝑝𝑡 𝑥𝑡 𝑝𝑡 𝑖𝑡
+ + + = 1 + 𝑦𝑡
𝑝𝑡 𝑝𝑡 𝑝𝑡 𝑝𝑡
𝑥𝑡
1 + 𝑥𝑡 + 𝑖𝑡 − = 1 + 𝑦𝑡
𝑝𝑡

𝐷𝑒𝑠𝑝𝑒𝑗𝑎𝑛𝑑𝑜 𝑦𝑡
𝑥𝑡
1 + 𝑥𝑡 + 𝑖𝑡 − − 1 = 𝑦𝑡
𝑝𝑡
𝑥𝑡
𝑥𝑡 + 𝑖𝑡 − = 𝑦𝑡
𝑝𝑡

Al reemplazar el valor de 𝑦𝑡 en la ecuación inicialmente planteada:

(1 + 𝑖𝑡 ) = (1 − 𝑝𝑡 )(1 + 𝑖𝑡 + 𝑥𝑡 ) + 𝑝𝑡 (1 + 𝑦𝑡 )

La formula quedaría así:

𝒙𝒕
(𝟏 + 𝒊𝒕 ) = (𝟏 − 𝒑𝒕 )(𝟏 + 𝒊𝒕 + 𝒙𝒕 ) + 𝒑𝒕 (𝟏 + 𝒙𝒕 + 𝒊𝒕 − )
𝒑𝒕

Financial crisis of 2007–2008 in USA and IS-LM model

10. Explain based on the extended IS-LM model, using words and
attaching a plot, how fiscal and monetary policy was used to mitigate the fall
in real GDP during the financial crisis of 2007–2008 in USA. (5 points)
Observation 1: Be clear and precise in the explanation and please don’t include
“bullshit” (Sorry for the last word but I did not find a better expression where I am
using it in the sense indicated in https://en.wikipedia.org/wiki/Bullshit).
A partir de la gráfica donde se representa el modelo IS-LM extendido, se puede hacer
un análisis de como la política fiscal y monetaria se usó para tartar de mitigar el
descenso de PIB real durante la crisis financiera de 2007 y 2008 en USA. Sin embargo,
estas fueron insuficientes, ya que en 2008 y en 2009 hubo una contracción del
producto en ese país.

La primera medida que se tomó fue la reducción de la tasa de interés a través de la

política monetaria expansiva, como se ve gráficamente, se desplazó la curva LM hacia
abajo de LM1 a LM2, lo que trajo como consecuencia un incentivo a la inversión y al
consumo y de esta forma aumentar la producción, que había caído a consecuencia de
la crisis. Sin embargo, la política monetaria expansiva tuvo un límite en 2008, ya que,
al ubicar la tasa de interés nominal en cero, se llegó a una situación de trampa de
liquidez, donde la política monetaria llegó hasta su máximo efecto. La problemática
de esta política monetaria es que logró recuperarse un poco el producto, pero a costa
de un aumento de la inflación.

Por otro lado, la política fiscal actúo por medio del programa ley de recuperación y
reinversión americana donde uno de sus objetivos consistía en disminuir la tasa
impositiva y aumentar el gasto privado o público, esto permitió que la demanda
agregada se expandiera gracias al aumento del gasto, desplazando la demanda
agregada en el Mercado de bienes y servicios del punto 2 al punto 3 y por tanto la IS
a la derecha del punto 2 al punto 3.

Como resultado de las políticas fiscales y monetarias que se ejecutaron en la crisis de

2007 y 2008 causaron una recuperación en la economía que se ve reflejado en el
desplazamiento de la curva IS del punto 2 al punto 3, sin embargo, no fueron
suficientes como para alcanzar el nivel de producción del punto 1.