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El comportamiento del tipo de cambio real en Colombia: ¿Explicado por sus fundamentales?

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Author Info

  • Carolina Arteaga

    ()

  • Joan Camilo Granados

    ()

  • Jair Ojeda Joya

    ()

Abstract

En este trabajo estudiamos el comportamiento del tipo de cambio real (TCR) de Colombia con la ayuda de un modelo de cointegración que considera la interacción entre el TCR y un conjunto de determinantes macroeconómicos durante el periodo 1994-2012 con datos trimestrales. Estos fundamentales incluyen un nuevo indicador de productividad relativa el cual nos permite estimar el impacto del efecto Balassa-Samuelson sobre el TCR de Colombia. Esta metodología permite detectar los trimestres en los cuales el TCR se encuentra alejado de su relación de cointegración y por tanto, no está explicado por el comportamiento de sus fundamentales. Los resultados indican que la apreciación real observada desde finales de 2003 es explicada principalmente por el aumento en los términos de intercambio y en segundo lugar por el efecto Balassa-Samuelson. Adicionalmente, la dinámica del TCR se explica principalmente por el movimiento en los activos externos netos en el corto plazo y por el del consumo del gobierno en el mediano plazo.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 742.

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Length: 35
Date of creation: Oct 2012
Date of revision:
Handle: RePEc:bdr:borrec:742

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Related research

Keywords: Tipo de cambio real; efecto Balassa-Samuelson; Términos de intercambio; VEC; activos externos netos; desalineamiento Classification JEL:F31; F32; C32;

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Cited by:
  1. Carolina Arteaga & Carlos Huertas Campos & Sergio Olarte Armenta, 2012. "Índice de Desbalance Macroeconómico," BORRADORES DE ECONOMIA 010077, BANCO DE LA REPÚBLICA.

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