¿Conviene cubrir el riesgo de inflación con TES UVR? La evidencia en Colombia

Abstract

This study focuses on the determinants of the differential return between fixed-rate TES (Colombian Treasury Bonds) and UVR TES ( inflation protected) in order to predict when it´s better to invest in either. We find that there are macro or market variables that can predict in some degree which of the two types of bonds will have greater ex-post holding return. In particular, we find that both a greater spread between the ex-ante yields of TES fixed rate and UVR TES (in UVR), and the monetary policy expansion cycle predict a greater ex-post holding return in pesos of TES fixed rate in relationship with UVR for terms of one and two years. For longer terms, positive relations were obtained with the spread, the Central bank intervention rate, the term premium, and annual inflation. Given that all these variables are proxies of higher future inflation, we conclude that the varying demand for inflation coverage may explain to some degree which of the two types of TES will be more profitable. Unexpectedly, the expected inflation variable from Reuters showed no predictive power.