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Desequilibrios nominales y reales del tipo de cambio en Colombia

Author

Listed:
  • Hugo Oliveros C.
  • Carlos Huertas C.

    (Banco de la Republica de Colombia)

Abstract

La estimación de los desequilibrios nominales y reales del tipo de cambio (TC) en Colombia se construye a partir de dos componentes: el permanente asociado con una tendencia estocástica (no estacionaria) y el transitorio vinculado con el ciclo (estacionario). La separación entre lo permanente y lo transitorio se realiza a partir de las relaciones de largo plazo entre el TC nominal (real) y sus determinantes fundamentales. El nivel de equilibrio de la TC nominal (real) se obtiene como el componente permanente, según la metodología de “common trends”, aplicada a la TC nominal y a sus determinantes fundamentales, mientras que el componente transitorio se calcula por residuo y se asocia al desequilibrio. El ejercicio se lleva a cabo para diferentes frecuencias (anual y trimestral) y períodos de información y se usan varios modelos de determinación del TC nominal y real.

Suggested Citation

  • Hugo Oliveros C. & Carlos Huertas C., 2003. "Desequilibrios nominales y reales del tipo de cambio en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 21(43), pages 32-65, June.
    • Handle: RePEc:bdr:ensayo:v:21:y:2003:i:43:p:32-65
    DOI: 10.32468/Espe.4302
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    References listed on IDEAS

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    Cited by:

    1. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2005. "La tasa de cambio real en Colombia ¿Muy lejos del equilibrio?," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 23(49), pages 134-191, December.
    2. International Monetary Fund, 2006. "Colombia; Selected Issues," IMF Staff Country Reports 06/401, International Monetary Fund.
    3. Alfredo Bateman y Javier E. Martinez & Javier Esteban Martinez, 2010. "Cuaderno 4: Análisis de las fuentes de oferta y demanda en el mercado de divisas," Cuadernos de Desarrollo Económico 7586, Secretaría Distrital de Desarrollo Económico.

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    More about this item

    Keywords

    tasa de cambio real; equilibrio de la tasa de cambio real.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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