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Volatilidad cambiaria en Colombia: cuantificación y determinantes

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Author Info

  • María Angélica Arbeláez

    ()

  • Roberto Steiner

    ()

Abstract

Existe cierta percepción en el país de que el peso colombiano es excesivamente volátil y de que ello en parte es consecuencia de la activa participación de los Fondos de Pensiones Obligatorias (FPOs) en el mercado cambiario. En este documento realizamos dos ejercicios. En primer lugar, estimamos diferentes medidas que nos permiten comparar, a diversas frecuencias, la volatilidad del peso con la de otras monedas y con la del mercado accionario local. En segundo lugar, analizamos algunos posibles determinantes de dicha volatilidad, incluyendo dentro de éstos el papel de los FPOs y el de las intervenciones del Banco de la República. Encontramos que la tasa de cambio en Colombia no ha sido persistentemente más volátil que en otros países como México, Brasil y Chile e incluso que el euro, aun cuando la volatilidad en Colombia aumentó en forma importante en 2005 a tasas superiores a las registradas en estos países, que la volatilidad ha sido mayor en períodos de devaluación que de revaluación de la tasa de cambio. También encontramos que, a pesar de que existe una relación positiva entre la operación de los FPO en el mercado cambiario y la volatilidad del peso, estos agentes.no parecen ser los responsables de la mayor volatilidad que se ha registrado recientemente en el país

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File URL: http://www.fedesarrollo.org.co/wp-content/uploads/2011/08/WP-No.-48-Volatilidad-cambiaria-en-Colombia-2009-Nov..pdf
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Bibliographic Info

Paper provided by FEDESARROLLO in its series WORKING PAPERS SERIES. DOCUMENTOS DE TRABAJO with number 009073.

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Length: 30
Date of creation: 29 Nov 2009
Date of revision:
Handle: RePEc:col:000123:009073

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Related research

Keywords: Fondos de Pensiones Obligatorias; Mercado cambiario; Volatilidad cambiaria; Colombia;

References

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  1. Roberto Steiner & Carolina Soto, 1998. "IVA: Productividad, evasión y progresividad," WORKING PAPERS SERIES. DOCUMENTOS DE TRABAJO 009208, FEDESARROLLO.
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Cited by:
  1. Concha, Alvaro & Galindo, Arturo José & Vasquez, Diego, 2011. "An assessment of another decade of capital controls in Colombia: 1998–2008," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 319-338.

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