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 w...

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Autores:
Uribe, Jorge Mario
Restrepo López, Natalia
Tipo de recurso:
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
Rights
License
Copyright (c) 2015 Jorge Mario Uribe, Natalia Restrepo López
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spelling 2015-12-012016-09-15T13:18:04Z2015-12-012016-09-15T13:18:04Z1657-4206http://hdl.handle.net/10784/916710.17230/ecos.2015.41.2We 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 interventionsEn este documento se explora el comportamiento reciente del tipo de cambio en Colombia durante el periodo 2000-2014 -- Se identifican algunas de las características del proceso estocástico que lo describe, haciendo énfasis en la detección de quiebres estructurales o raíces unitarias -- Una vez detectados los quiebres estructurales en el tipo de cambio, se evalúa la coincidencia de estos con las intervenciones del banco central en el mercado cambiario -- Los resultados señalan que el tipo de cambio puede ser descrito por una caminata aleatoria o por una serie sujeta a múltiples quiebres -- En ninguno de los casos se puede atribuir la dinámica a las intervenciones del banco centralapplication/pdftext/htmlengUniversidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 19, No 41 (2015)http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345Copyright (c) 2015 Jorge Mario Uribe, Natalia Restrepo LópezAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 19, No 41 (2015)C22G15G28G18MartigalaPolítica monetaria - Historia - ColombiaBANCOS CENTRALESCAMBIO EXTERIORMODELOS ECONOMÉTRICOSSISTEMAS MONETARIOSBanks and banking, centralForeign exchangeEconometric modelsMonetary systemsExchange rate dynamics, structural breaks, and central bank interventions in ColombiaDinámica del tipo de cambio, quiebre estructural e intervenciones de política en Colombiainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionarticlepublishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Uribe, Jorge MarioRestrepo López, NataliaEcos de Economía: A Latin American Journal of Applied Economics19412444ecos.econ.ORIGINALarticulo.htmlarticulo.htmlTexto completo HTMLtext/html371https://repository.eafit.edu.co/bitstreams/4cc9076d-e5c3-4f62-8777-27cee5dec7ce/downloadfc91cc5583b0509a43803a6d90591eb7MD51document (72).pdfdocument (72).pdfTexto completo PDFapplication/pdf525062https://repository.eafit.edu.co/bitstreams/4a729e4d-e5d1-4e40-aa3d-b78c89759654/downloade395b43f53ed9255886e9ed6f206ce22MD52THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/087a9dc2-49c6-4cd0-b134-a5b0f6b52052/download9b15d674b076c1793a0bc25cebb1bcefMD5310784/9167oai:repository.eafit.edu.co:10784/91672020-03-07 19:08:50.147open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
dc.title.spa.fl_str_mv Dinámica del tipo de cambio, quiebre estructural e intervenciones de política en Colombia
title Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
spellingShingle Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
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
title_short Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
title_full Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
title_fullStr Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
title_full_unstemmed Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
title_sort Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
dc.creator.fl_str_mv Uribe, Jorge Mario
Restrepo López, Natalia
dc.contributor.author.spa.fl_str_mv Uribe, Jorge Mario
Restrepo López, Natalia
dc.subject.none.fl_str_mv C22
G15
G28
G18
Martigala
Política monetaria - Historia - Colombia
topic 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
dc.subject.lemb.none.fl_str_mv BANCOS CENTRALES
CAMBIO EXTERIOR
MODELOS ECONOMÉTRICOS
SISTEMAS MONETARIOS
dc.subject.keyword.none.fl_str_mv Banks and banking, central
Foreign exchange
Econometric models
Monetary systems
description 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
publishDate 2015
dc.date.issued.none.fl_str_mv 2015-12-01
dc.date.available.none.fl_str_mv 2016-09-15T13:18:04Z
dc.date.accessioned.none.fl_str_mv 2016-09-15T13:18:04Z
dc.date.none.fl_str_mv 2015-12-01
dc.type.eng.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
article
publishedVersion
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http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 1657-4206
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/9167
dc.identifier.doi.none.fl_str_mv 10.17230/ecos.2015.41.2
identifier_str_mv 1657-4206
10.17230/ecos.2015.41.2
url http://hdl.handle.net/10784/9167
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.ispartof.eng.fl_str_mv Ecos de Economía: A Latin American Journal of Applied Economics; Vol 19, No 41 (2015)
dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345
dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345
dc.rights.eng.fl_str_mv Copyright (c) 2015 Jorge Mario Uribe, Natalia Restrepo López
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Copyright (c) 2015 Jorge Mario Uribe, Natalia Restrepo López
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv application/pdf
text/html
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.eng.fl_str_mv Ecos de Economía: A Latin American Journal of Applied Economics; Vol 19, No 41 (2015)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
collection Repositorio Institucional Universidad EAFIT
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