Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach

We examine the long-run relationship between the parallel and the official exchange rate in Colombia over two regimes; a crawling peg period and a more flexible crawling band one. The short-run adjustment process of the parallel rate is examined both in a linear and a nonlinear context. We find that the change from the crawling peg to the crawling band regime did not affect the long-run relationship between the official and parallel exchange rates, but altered the short-run dynamics. Non-linear adjustment seems appropriate for the first period, mainly due to strict foreign controls that cause distortions in the transition back to equilibrium once disequilibrium occurs

• Fecha de publicación: 2000
• Institución: Universidad del Rosario
• Repositorio: Repositorio EdocUR - U. Rosario
• Idioma: eng
• OAI Identifier: oai:repository.urosario.edu.co:10336/11301
• Acceso en línea: https://doi.org/10.48713/10336_11301; http://repository.urosario.edu.co/handle/10336/11301
• Palabra clave: Economía financiera; Parallel market; Cointegration; Non-linear error correction models; Colombia; Cambio exterior::Colombia; Tasas de interés::Colombia; Política monetaria::Colombia
• License: http://purl.org/coar/access_right/c_abf2