Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia
This paper re-examines the effects of inflation and exchange rate uncertainty on real economic activity. The existent literatura has treated both issues as separate subject matters. It has emphasized either the issue of inflation uncertainty or exchange rate uncertainty on economic growth or on diff...
- Autores:
-
Ruiz, Isabel Cristina
- Tipo de recurso:
- Fecha de publicación:
- 2020
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/15576
- Acceso en línea:
- http://hdl.handle.net/10784/15576
- Palabra clave:
- E52
E65
F41
D81
Inflation Targeting
Inflation Uncertainty
Exchange Rate
Uncertainty
GARCH models
Granger causality
- Rights
- License
- Copyright (c) 2005 Isabel Cristina Ruiz
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Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees10/04/20052020-01-31T18:42:52Z10/04/20052020-01-31T18:42:52Z2462-81071657-4272http://hdl.handle.net/10784/15576This paper re-examines the effects of inflation and exchange rate uncertainty on real economic activity. The existent literatura has treated both issues as separate subject matters. It has emphasized either the issue of inflation uncertainty or exchange rate uncertainty on economic growth or on different measures of economic activity. This paper attempts dealing with both issues by analyzing the magnitudes and direction of the effect of both: inflation and exchange rate uncertainty on real economic activity. By introducing dummy variables, we control for monetary policy change (the change to inflation targeting and flexible exchange rate). By using a generalized autoregressive conditional variance (GARCH) model of inflation and exchange rates, the conditional variances of the model’s forecast errors were extracted as measures of uncertainty. The results suggest that higher levels of inflation Granger cause more uncertainty and viceversa for the Colombian economy. Also, only inflation uncertainty matters for output by exerting a negative influenceapplication/pdfspaUniversidad EAFITEcos de Economía, Vol 9, No 20 (2005)http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1972/1981http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1972/1981Copyright (c) 2005 Isabel Cristina RuizAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía, Vol 9, No 20 (2005)E52E65F41D81Inflation TargetingInflation UncertaintyExchange RateUncertaintyGARCH modelsGranger causalityEmpirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombiaarticleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Ruiz, Isabel CristinaWestern Michigan UniversityEcos de Economia: A Latin American journal of applied economics920728Ecos de EconomíaORIGINALdocument - 2020-03-12T231135.949.pdfdocument - 2020-03-12T231135.949.pdfTexto completo PDFapplication/pdf99829https://repository.eafit.edu.co/bitstreams/e5df1209-90d8-4b53-b248-b89835a04312/downloadbc251fd0a21c4663114c771ee850d972MD51articulo.htmlarticulo.htmlTexto completo HTMLtext/html377https://repository.eafit.edu.co/bitstreams/a810a26c-b45f-4252-8135-b4991807c8f4/download5184d342e1a71739b1952947bf139cd3MD53THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/13114d4a-c2c1-4c80-8182-807754b11888/download9b15d674b076c1793a0bc25cebb1bcefMD5210784/15576oai:repository.eafit.edu.co:10784/155762020-03-19 10:36:41.142open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co |
| dc.title.eng.fl_str_mv |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| title |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| spellingShingle |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia E52 E65 F41 D81 Inflation Targeting Inflation Uncertainty Exchange Rate Uncertainty GARCH models Granger causality |
| title_short |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| title_full |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| title_fullStr |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| title_full_unstemmed |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| title_sort |
Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia |
| dc.creator.fl_str_mv |
Ruiz, Isabel Cristina |
| dc.contributor.author.spa.fl_str_mv |
Ruiz, Isabel Cristina |
| dc.contributor.affiliation.spa.fl_str_mv |
Western Michigan University |
| dc.subject.none.fl_str_mv |
E52 E65 F41 D81 |
| topic |
E52 E65 F41 D81 Inflation Targeting Inflation Uncertainty Exchange Rate Uncertainty GARCH models Granger causality |
| dc.subject.keyword.eng.fl_str_mv |
Inflation Targeting Inflation Uncertainty Exchange Rate Uncertainty GARCH models Granger causality |
| description |
This paper re-examines the effects of inflation and exchange rate uncertainty on real economic activity. The existent literatura has treated both issues as separate subject matters. It has emphasized either the issue of inflation uncertainty or exchange rate uncertainty on economic growth or on different measures of economic activity. This paper attempts dealing with both issues by analyzing the magnitudes and direction of the effect of both: inflation and exchange rate uncertainty on real economic activity. By introducing dummy variables, we control for monetary policy change (the change to inflation targeting and flexible exchange rate). By using a generalized autoregressive conditional variance (GARCH) model of inflation and exchange rates, the conditional variances of the model’s forecast errors were extracted as measures of uncertainty. The results suggest that higher levels of inflation Granger cause more uncertainty and viceversa for the Colombian economy. Also, only inflation uncertainty matters for output by exerting a negative influence |
| publishDate |
2020 |
| dc.date.issued.none.fl_str_mv |
10/04/2005 |
| dc.date.available.none.fl_str_mv |
2020-01-31T18:42:52Z |
| dc.date.accessioned.none.fl_str_mv |
2020-01-31T18:42:52Z |
| dc.date.none.fl_str_mv |
10/04/2005 |
| dc.type.eng.fl_str_mv |
article info:eu-repo/semantics/article publishedVersion info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_2df8fbb1 |
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Artículo |
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publishedVersion |
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2462-8107 1657-4272 |
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http://hdl.handle.net/10784/15576 |
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2462-8107 1657-4272 |
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http://hdl.handle.net/10784/15576 |
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spa |
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spa |
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Ecos de Economía, Vol 9, No 20 (2005) |
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http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1972/1981 |
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http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/1972/1981 |
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Copyright (c) 2005 Isabel Cristina Ruiz |
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http://purl.org/coar/access_right/c_abf2 |
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Acceso abierto |
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Copyright (c) 2005 Isabel Cristina Ruiz Acceso abierto http://purl.org/coar/access_right/c_abf2 |
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application/pdf |
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Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees |
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Universidad EAFIT |
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instname:Universidad EAFIT reponame:Repositorio Institucional Universidad EAFIT |
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