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Desequilibrios nominales y reales del tipo de cambio en Colombia

Listed author(s):
  • Hugo Oliveros C.

    ()

  • Carlos Huertas C.

    ()

Registered author(s):

    La estimación de los desequilibrios nominales y reales del tipo de cambio(TC) en Colombia se construye a partir de dos componentes: el permanenteasociado con una tendencia estocástica (no estacionaria) y el transitoriovinculado con el ciclo (estacionario). La separación entre lo permanente ylo transitorio se realiza a partir de las relaciones de largo plazo entre el TCnominal (real) y sus determinantes fundamentales. El nivel de equilibrio dela TC nominal (real) se obtiene como el componente permanente, según lametodología de common trends", aplicada a la TC nominal y a susdeterminantes fundamentales, mientras que el componente transitorio secalcula por residuo y se asocia al desequilibrio. El ejercicio se lleva a cabopara diferentes frecuencias (anual y trimestral) y períodos de información y se usan variosmodelos de determinación del TC nominal y real."

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    File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/espe_043-2.pdf
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    Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

    Volume (Year): 21 (2003)
    Issue (Month): 43 (June)
    Pages: 32-65

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    Handle: RePEc:col:000107:005296
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    1. Tarhan Feyzioglu, 1997. "Estimating the Equilibrium Real Exchange Rate; An Application to Finland," IMF Working Papers 97/109, International Monetary Fund.
    2. Martha Misas & Maria Teresa Ramirez & Luisa Fernanda Silva, 2001. "Exportaciones No Tradicionales En Colombia Y Sus Determinantes," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 19(39), pages 73-114, June.
    3. Enrique Alberola & Humberto López, 1999. "Internal and External Exchange Rate Equilibrium in a Cointegration Framework. An Application to the Spanish Peseta," Working Papers 9916, Banco de España;Working Papers Homepage.
    4. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    5. James Morley & Charles Nelson & Eric Zivot, 2003. "Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?," Working Papers UWEC-2002-18-P, University of Washington, Department of Economics.
    6. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
    7. Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," FMG Discussion Papers dp126, Financial Markets Group.
    8. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    9. MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre.
    10. Hugo Oliveros & Luisa Fernanda Silva, 2001. "La Demanda Por Importaciones En Colombia," BORRADORES DE ECONOMIA 002967, BANCO DE LA REPÚBLICA.
    11. Engel, Charles, 1993. "Real exchange rates and relative prices : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 32(1), pages 35-50, August.
    12. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
    13. Arino, Miguel A. & Newbold, Paul, 1998. "Computation of the Beveridge-Nelson decomposition for multivariate economic time series," Economics Letters, Elsevier, vol. 61(1), pages 37-42, October.
    14. Anne-Marie Brook & David Hargreaves, 2001. "PPP-based analysis of New Zealand's equilibrium exchange rate," Reserve Bank of New Zealand Discussion Paper Series DP2001/01, Reserve Bank of New Zealand.
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