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Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu

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Author Info

  • Mauricio Lopera Castaño

    ()

  • Ramón Javier Mesa Callejas

    ()

  • Sergio Iván Restrepo Ochoa

    ()

  • Charle Augusto Londoño Henao

    ()

Abstract

En este artículo se determina la eficiencia de las intervenciones realizadas por el Banco de la República empleando el modelo teórico de canal de coordinación. En este modelo, el efecto que tiene un diferencial de tasas de interés, la variable de intervenciones construida por medio de un modelo Markov-switching y el proceder de los inversionistas técnicos y fundamentalistas sobre diferentes cuantiles del retorno de la tasa representativa del mercado (TRM) son evaluados. Usando una función de impulso respuesta, se encontró que la variable intervenciones genera elmayor impacto en el retorno de la TRM en los cuantiles del 5 % y 25 %, pero sin alcanzarse una reversión media completa en el cuantil del 50 %.

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Bibliographic Info

Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

Volume (Year): (2013)
Issue (Month): ()
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Handle: RePEc:col:000093:010829

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Related research

Keywords: Intervenciones cambiarias; modelo de canal de coordinación; modelo Markov-switching; red neuronal de regresión del cuantil.;

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References

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