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Sobre la relación entre inversión extranjera de cartera y la tasa de cambio: un estudio de causalidad para Colombia 2000-2014

Author

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  • Carlos F. Parra Moreno
  • Omar G. Rosero
  • José V. Pinzón

Abstract

En este trabajo se desarrolla un análisis de causalidad entre la tasa de cambio y los flujos de inversión extranjera de cartera para Colombia durante el periodo 2000 a 2014. El rápido crecimiento de dichos flujos merece la atención dada su importancia en el desarrollo del mercado de capitales y su dinámica, que comprende un elemento de difícil control. A través de un modelo VAR y pruebas de causalidad de Granger, se muestra que la inversión extranjera de cartera no tiene efectos significativos sobre el comportamiento de la tasa de cambio y viceversa. Los resultados muestran la compleja relación entre las dos variables, consistentes con la evidencia internacional.******This paper presents an causality analysis between the exchange rate and the flow of foreign portfolio investment for Colombia during the period 2000-2014. The rapid growth of these flows deserves attention given their importance in the development of the capital market and its dynamics comprises a hard control. Through a VAR model and Granger causality tests, it is shown that the FPI has no significant effect on the behavior of the exchange rate and vice versa. These results show the complex relationship between the two variables, consistent with international evidence.

Suggested Citation

  • Carlos F. Parra Moreno & Omar G. Rosero & José V. Pinzón, 2017. "Sobre la relación entre inversión extranjera de cartera y la tasa de cambio: un estudio de causalidad para Colombia 2000-2014," Revista CIFE, Universidad Santo Tomás, vol. 19(31), pages 23-40, December.
    • Handle: RePEc:col:000195:017032
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    References listed on IDEAS

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    1. Maurice Obstfeld, 1998. "The Global Capital Market: Benefactor or Menace?," Journal of Economic Perspectives, American Economic Association, vol. 12(4), pages 9-30, Fall.
    2. Leonardo Villar & Hernán Rincón, 2000. "The Colombian Economy In The Nineties: Capital Flows And Foreign Exchange Regimes," Borradores de Economia 3575, Banco de la Republica.
    3. Pierre‐Richard Agénor, 2003. "Benefits and Costs of International Financial Integration: Theory and Facts," The World Economy, Wiley Blackwell, vol. 26(8), pages 1089-1118, August.
    4. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    5. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
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    More about this item

    Keywords

    Inversión extranjera de cartera; modelo VAR; tasa de cambio.;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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