Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach
AbstractWe examine the long-run relationship between the parallel and the official exchange rate in Colombia over two regimes; a crawling peg period and a more flexible crawling band one. The short-run adjustment process of the parallel rate is examined both in a linear and a non-linear context. We find that the change from the crawling peg to the crawling band regime did not affect the long-run relationship between the official and parallel exchange rates, but altered the short-run dynamics. Non-linear adjustment seems appropriate for the first period, mainly due to strict foreign controls that cause distortions in the transition back to equilibrium once disequilibrium occurs.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 20 (2003)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/inca/30411
Other versions of this item:
- Costas Milas & Jesus Otero, 2000. "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach," BORRADORES DE INVESTIGACIÃN 003231, UNIVERSIDAD DEL ROSARIO.
- Jesús Otero & Costas Milas, 2001. "Modelling Official And Parallel Exchange Rates In Colombia Under Alternative Regimes: A Non-Linear Approach," CeNDEF Workshop Papers, January 2001 PO2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- O54 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean
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