Advanced Search
MyIDEAS: Login

Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia

Contents:

Author Info

  • Hugo Oliveros
  • Carlos Huertas

    ()

Registered author(s):

    Abstract

    La estimación de los desequilibrios nominales y reales del tipo de cambio en Colombia es abordada en este docuemnto a partir de la construcción de dos componentes: el permanente asociado con una tendencia estocástica y el transitorio vinculado con el ciclo. La separación entre lo permanente y lo transitorio se hace usando relaciones de largo plazo entre el tipo de cambio nominal (real) y sus determinantes fundamentales. La estimación de los desequilibrios nominales y reales(componente transitorio) se lleva a cabo para diferentes frecuencias (anual y trimestral) y periodos de información y se usan varios modelos de determinación del tipo de cambio nominal y real. El concepto de "common trends" (dual de cointegración) es introducido aquí para construir una variable no-observada, "el nivel de equilibrio" y para derivar medidas de desequilibrio. Es decir, se opta por derivar el componente permanente o de largo plazo del tipo de cambio nominal (o real) y asociarlo a su nivel de equilibrio y obtener por residuo su componente transitorio y relacionarlo con el desequilibrio.Dicha descomposición además de recuperar el componente no-estacionario (la tendencia estocástica) y estacionario (el ciclo), se hace usando los determinnates del tipo de cambio. Los resultados sugieren que el tipo de cambio real estuvo por debajo de su nivel de equilibrio durante los últimos periodos y que a marzo de 2002 continuaba ligeramente por debajo de éste.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.banrep.gov.co/docum/ftp/borra220.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 220.

    as in new window
    Length:
    Date of creation:
    Date of revision:
    Handle: RePEc:bdr:borrec:220

    Contact details of provider:
    Postal: Cra 7 # 14-78 Piso 7
    Phone: (57-1) 3431111
    Fax: (57-1) 2841686
    Email:
    Web page: http://www.banrep.org/publicaciones/pub_borra.htm
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Engel, Charles, 1993. "Real exchange rates and relative prices : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 32(1), pages 35-50, August.
    2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
    3. Hugo Oliveros & Luisa Fernanda Silva, 2001. "La Demanda Por Importaciones En Colombia," BORRADORES DE ECONOMIA 002967, BANCO DE LA REPÚBLICA.
    4. James Morley & Charles Nelson & Eric Zivot, 2002. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers UWEC-2002-01, University of Washington, Department of Economics.
    5. Enrique Alberola & Humberto López, 2001. "Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta," Spanish Economic Review, Springer, vol. 3(1), pages 23-40.
    6. Gonzalo, Jesús & Ng, Serena, . "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/6203, Universidad Carlos III de Madrid.
    7. Martha Misas A. & María Teresa Ramírez G. & Luisa Fernanda Silva, 2001. "Exportaciones No Tradicionales En Colombia Y Sus Determinantes," BORRADORES DE ECONOMIA 002701, BANCO DE LA REPÚBLICA.
    8. Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds," NBER Technical Working Papers 0106, National Bureau of Economic Research, Inc.
    9. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
    10. Escribano, Álvaro & Peña, Daniel, 1994. "Cointegration and Common Factors," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2545, Universidad Carlos III de Madrid.
    11. Martha Misas & Hugo Oliveros, . "Cointegración, exogeneidad y Crítica de Lucas: Funciones de Demanda de Dinero en Colombia: Un ejercicio más," Borradores de Economia 075, Banco de la Republica de Colombia.
    12. John H. Cochrane, 1994. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc.
    13. Anne-Marie Brook & David Hargreaves, 2001. "PPP-based analysis of New Zealand's equilibrium exchange rate," Reserve Bank of New Zealand Discussion Paper Series DP2001/01, Reserve Bank of New Zealand.
    14. Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:220

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Camilo Millán).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.