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Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia

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  • Hugo Oliveros
  • Carlos Huertas

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    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.

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    Bibliographic Info

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

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    Handle: RePEc:bdr:borrec:220

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    1. Martha Misas A. & María Teresa Ramírez G. & Luisa Fernanda Silva, 2001. "Exportaciones No Tradicionales En Colombia Y Sus Determinantes," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 002701, BANCO DE LA REPÚBLICA.
    2. James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers, University of Washington, Department of Economics 0013, University of Washington, Department of Economics.
    3. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers, Princeton, Department of Economics - Econometric Research Program 360, Princeton, Department of Economics - Econometric Research Program.
    4. Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Hugo Oliveros & Luisa Fernanda Silva, 2001. "La Demanda Por Importaciones En Colombia," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 002967, BANCO DE LA REPÚBLICA.
    6. Enrique Alberola & Humberto López, 1999. "Internal and External Exchange Rate Equilibrium in a Cointegration Framework. An Application to the Spanish Peseta," Banco de Espa�a Working Papers, Banco de Espa�a 9916, Banco de Espa�a.
    7. Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," FMG Discussion Papers, Financial Markets Group dp126, Financial Markets Group.
    8. 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.
    9. Martha Misas & Hugo Oliveros, . "Cointegración, exogeneidad y Crítica de Lucas: Funciones de Demanda de Dinero en Colombia: Un ejercicio más," Borradores de Economia, Banco de la Republica de Colombia 075, Banco de la Republica de Colombia.
    10. Charles Engel, 1992. "Real Exchange Rates and Relative Prices: An Empirical Investigation," NBER Working Papers 4231, National Bureau of Economic Research, Inc.
    11. John H. Cochrane, 1990. "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.
    12. Peter B. Clark & Ronald MacDonald, 2000. "Filtering the Beer," IMF Working Papers, International Monetary Fund 00/144, International Monetary Fund.
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