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Descomposición histórica de choques del tipo de cambio real en Colombia: un enfoque DSGE

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  • Luis Alejandro Lee P

    ()

  • Angélica María Quiroga E.

    ()

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    Abstract

    El trabajo utiliza un modelo DSGE de ciclos reales con dos sectores productivos, uno transabley uno no transable, para realizar una descomposición histórica de choques del tipo de cambio realen Colombia en el período comprendido entre los años 2000 y 2009. Dicha descomposición estimael poder explicativo de choques estructurales en la tecnología y tasa de interés período a período,lo cual representa una ventaja frente a metodologías más tradicionales como la descomposiciónde varianza, la cual realiza el ejercicio como un promedio de todo el período de observación. Losresultados muestran que en promedio el modelo explica 55% del comportamiento del tipo de cambioreal, teniendo que al principio y al final de la década el choque al tipo de interés fue el dominante,mientras en los años 2006, 2007 y 2008 lo fue el choque a la productividad transable.

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    File URL: http://www.javeriana.edu.co/fcea/coleccion_universitas_Economica/Vol_10/Vol.10_7_2010.pdf
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    Bibliographic Info

    Paper provided by UNIVERSIDAD JAVERIANA - BOGOTÁ in its series VNIVERSITAS ECONÓMICA with number 008294.

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    Length: 41
    Date of creation: 30 Jun 2010
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    Handle: RePEc:col:000416:008294

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    Related research

    Keywords: DSGE; Estimación Bayesiana; Tipo de Cambio Real; TNT;

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    1. Juan Carlos Parra Alvarez, . "Hechos estilizados de la economía colombiana: fundamentos empíricos para la construcción y evaluación de un modelo DSGE," Borradores de Economia 509, Banco de la Republica de Colombia.
    2. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund.
    3. Edwards, Sebastian, 1988. "Real and monetary determinants of real exchange rate behavior: Theory and evidence from developing countries," Journal of Development Economics, Elsevier, vol. 29(3), pages 311-341, November.
    4. Alberto Carrasquilla & Andrés Felipe Arias, 1996. "Tipo de Cambio Real en Colombia: ¿que pasó?," BORRADORES DE ECONOMIA 003644, BANCO DE LA REPÚBLICA.
    5. Detken, Carsten & Dieppe, Alistair & Henry, Jérôme & Marin, Carmen & Smets, Frank, 2002. "Model uncertainty and the equilibrium value of the real effective euro exchange rate," Working Paper Series 0160, European Central Bank.
    6. Santiago Herrera Aguilera, 1989. "Determinantes De La Trayectoria Del Tipo De Cambio Real En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
    7. Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute.
    8. Joseph Joyce & Linda Kamas, 2003. "Real and nominal determinants of real exchange rates in Latin America: Short-run dynamics and long-run equilibrium," Journal of Development Studies, Taylor & Francis Journals, vol. 39(6), pages 155-182.
    9. Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2001. "Determinants of the euro real effective exchange rate: a BEER/PEER approach," International Finance 0111003, EconWPA.
    10. Hinkle, Lawrence E. & Monteil, Peter J. (ed.), 1999. "Exchange Rate Misalignment: Concepts and Measurement for Developing Countries," OUP Catalogue, Oxford University Press, number 9780195211269.
    11. Tatsuyoshi Miyakoshi, 2003. "Real exchange rate determination: Empirical observations from East-Asian countries," Empirical Economics, Springer, vol. 28(1), pages 173-180, January.
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