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Impacto de las intervenciones cambiarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia

Author

Listed:
  • Juan José Echavarría
  • Diego Vásquez
  • Mauricio Villamizar

Abstract

Este trabajo evalúa los determinantes de las compras de divisas y su impacto sobre la tasa de cambio nominal en Colombia durante el período 2000-2008. Estimaciones Tobit muestran que el Banco Centralcompró divisas para compensar las revaluaciones frente al día anterior y para corregir tendencias excesivas" cuando se redujo la presión inflacionaria y cuando el Banco Central tuvo una posición acreedora neta. La estimación de un modelo EGARCH muestra que las compras de divisas devaluaron la tasa de cambio y redujeron su volatilidad, tanto en el corto plazo (un día) como en el mediano plazo (un mes,tres meses y seis meses). Las posibles contradicciones macroeconómicas no fueron suficientementefuertes para producir un efecto sobre la función de reacción de las autoridades o sobre el impacto de las intervenciones. El trabajo emplea metodologías que permiten evaluar la estabilidad de los parámetros de la ecuación de media y de volatilidad para el modelo EGARCH en forma simultánea."

Suggested Citation

  • Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2010. "Impacto de las intervenciones cambiarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 28(62), pages 12-69, June.
  • Handle: RePEc:col:000107:009426
    DOI: 10.32468/Espe.6201
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    More about this item

    Keywords

    intervenciones cambiarias; monto; modalidades e impacto de las intervenciones; funciónde reacción del Banco Central; estabilidad deparámetros; estimación Tobit; EGARCH.;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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