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Evolution of the Colombia peso, within the currency bands, nonlinearity analysis and stochastic modelling

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  • Alejandro Revéis

    ()

Abstract

This paper studies the behavior of the Colombian Peso exchange rate against the US dollar for the period in which a currency band as prevailing (January 1994 - Sept 1999). A descriptive analysis, which encompasses monetary policy implementation, a description of the market structure and participants, as well as the evolution of the foreign exchange rate is presented. Because a linear relationship fails to account for the evolution of the nominal exchange rate in terms of the real sector supply and demand and financial system´s foreign exchange positions, neural networks techniques are used in order to get some insight on the non-linearity tests of the time series. Consequently, statistical tests- including non-linearity tests- are performed in order to further examine the properties of the returns data and an analysis of a three-volatility-regime stochastic model with mean reversion fitted to the data in prior work is expanded.

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File URL: http://www.urosario.edu.co/FASE1/economia/documentos/v5n1Reveiz(2002).pdf
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Bibliographic Info

Article provided by UNIVERSIDAD DEL ROSARIO in its journal REVISTA DE ECONOMÍA DEL ROSARIO.

Volume (Year): (2002)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000151:002681

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Keywords: Exchange rates; non linearity; stochasting modelling; monetary policy;

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