Exchange rate dynamics, structural breaks, and central bank interventions in Colombia

We evaluate the effectiveness of the Colombian Central Bank´s interventions in the foreign exchange market during the period 2000 to 2014 -- We examine the stochastic process that describes the exchange rate, with a focus on the detection of structural breaks or unit roots in the data to determine whether the Central Bank´s interventions were effective -- We find that the exchange rate can be described either by a random walk or by a trend-stationary model with multiple breaks -- In neither cases do we find any evidence that the exchange rate was affected by the Central Bank interventions

• Autores: Uribe, Jorge Mario; Restrepo López, Natalia
• Fecha de publicación: 2015
• Institución: Universidad EAFIT
• Repositorio: Repositorio EAFIT
• Idioma: eng
• OAI Identifier: oai:repository.eafit.edu.co:10784/9167
• Acceso en línea: http://hdl.handle.net/10784/9167
• Palabra clave: C22; G15; G28; G18; Martigala; Política monetaria - Historia - Colombia; BANCOS CENTRALES; CAMBIO EXTERIOR; MODELOS ECONOMÉTRICOS; SISTEMAS MONETARIOS; Banks and banking, central; Foreign exchange; Econometric models; Monetary systems
• License: Copyright (c) 2015 Jorge Mario Uribe, Natalia Restrepo López