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El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006

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  • Hernández Monsalve, Mauricio Alberto
  • Mesa Callejas, Ramón Javier

Abstract

El objetivo de este artículo es medir el tamaño relativo de las intervenciones cambiarias realizadas en el periodo de la revaluación del peso, entre 2004 y 2006, y calcular la efectividad de éstas en cuanto a sus efectos sobre la media y la varianza del tipo de cambio nominal. La propuesta de un modelo de determinación del tipo de cambio, que parte del modelo de balance de portafolio, y el uso de un índice de intervención construido para el caso colombiano, permiten concluir que las intervenciones del Banco de la República, con miras a defender el régimen de flotación controlada, han tenido efectos pequeños y transitorios en el nivel y la varianza del tipo de cambio, presentando rezagos de varios días y siendo descontadas rápidamente por el mercado

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 942.

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Date of creation: Oct 2006
Date of revision: Oct 2006
Handle: RePEc:pra:mprapa:942

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Keywords: intervenciones esterilizadas; régimen cambiario; flotación controlada; mercado cambiario; tipo de cambio; modelo de portafolio;

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  1. Anna J. Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention," NBER Working Papers 7751, National Bureau of Economic Research, Inc.
  2. Bofinger, Peter & Wollmershäuser, Timo, 2003. "Managed floating as a monetary policy strategy," Munich Reprints in Economics, University of Munich, Department of Economics 20206, University of Munich, Department of Economics.
  3. Michael D. Bordo, 2003. "Exchange Rate Regime Choice in Historical Perspective," NBER Working Papers 9654, National Bureau of Economic Research, Inc.
  4. Jeffrey A. Frankel, 2003. "Experience of and Lessons from Exchange Rate Regime in Emerging Economies," NBER Working Papers 10032, National Bureau of Economic Research, Inc.
  5. Laurence M. Ball, 1999. "Policy Rules for Open Economies," NBER Chapters, National Bureau of Economic Research, Inc, in: Monetary Policy Rules, pages 127-156 National Bureau of Economic Research, Inc.
  6. Bofinger, Peter & Wollmershäuser, Timo, 2001. "Managed floating: Understanding the new international monetary order," W.E.P. - Würzburg Economic Papers, University of Würzburg, Chair for Monetary Policy and International Economics 30, University of Würzburg, Chair for Monetary Policy and International Economics.
  7. Guillermo A. Calvo & Carmen M. Reinhart, 2000. "Fear of Floating," NBER Working Papers 7993, National Bureau of Economic Research, Inc.
  8. Jeffrey A. Frankel & Richard Meese, 1987. "Are Exchange Rates Excessively Variable?," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1987, Volume 2, pages 117-162 National Bureau of Economic Research, Inc.
  9. Stanley Fischer, 2001. "Exchange Rate Regimes: Is the Bipolar View Correct?," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(2), pages 3-24, Spring.
  10. Mark P. Taylor & Lucio Sarno, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 39(3), pages 839-868, September.
  11. Fischer, Andreas M & Zurlinden, Mathias, 1999. "Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 109(458), pages 662-76, October.
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