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Volatilidad de la tasa de cambio nominal en Colombia

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Author Info

  • Pedro Felipe Lega

    ()

  • Andrés Murcia

    ()

  • Diego Vásquez

    ()

  • Tatiana Venegas

    ()

Abstract

Teniendo en cuenta que la volatilidad de la tasa de cambio puede afectar en gran medida al sector real y financiero, se hace un estudio comparativo entre Colombia y once países seleccionados, algunos por su similitud con Colombia en algunos aspectos y otros porque sus monedas son una referencia obligada (Euro y Yen). Se analiza la caracterización de la dinámica cíclica de la volatilidad, su persistencia y sus determinantes. Se encuentra que la volatilidad de Colombia es una de las menores (octava de un total de doce), aunque es la segunda más persistente. Adicionalmente, se encuentra que en Colombia la volatilidad es mayor en períodos de devaluación que en los de revaluación. Se observa que el ciclo de la tasa de cambio en Colombia está caracterizado por ser de mayor amplitud que en otros países y con un período superior, lo que sugiere mayor persistencia en términos de nivel. Desde el punto de vista de sus determinantes se puede concluir que aumentos en el EMBI (riesgo país) generan incrementos de volatilidad, mientras que los límites a la posición propia de contado (PPC) reducen dicha volatilidad.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004390.

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Length: 29
Date of creation: 16 Dec 2007
Date of revision:
Handle: RePEc:col:000094:004390

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Related research

Keywords: Movimientos de la tasa de cambio; volatilidad; ciclos; Posición Propia de Contado.;

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