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Volatilidad de la tasa de cambio nominal en Colombia y su relación con algunas variables

Listed author(s):
  • Diego Vásquez E.

    ()

  • Pedro Felipe Lega G.

    ()

  • Andrés Murcia P.

    ()

  • Tatiana Venegas K.

    ()

El trabajo hace un estudio comparativo de la volatilidad de la tasa de cambio en Colombia y de once países seleccionados y analiza la caracterización de la dinámica cíclica de la volatilidad, su persistencia y sus determinantes. Se encuentra que la volatilidad diaria de la tasa de cambio nominal en Colombia es una de las menores, pero una de las más persistentes. Adicionalmente se encuentra que la volatilidad condicional es mayor en períodos de devaluación frente a los de revaluación. Se observa que el ciclo de la tasa de cambio en Colombia está caracterizado por una mayor amplitud que en otros países y con un período superior, lo que sugiere mayor persistencia en términos de nivel. Desde el punto de vista de sus determinantes, se puede concluir que aumentos en el embi (riesgo país) generan incrementos de volatilidad, mientras que los límites a la posición propia de contado ( ppc ) reducen dicha volatilidad.

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File URL: http://hdl.handle.net/11445/1106
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Article provided by FEDESARROLLO in its journal COYUNTURA ECONÓMICA.

Volume (Year): (2008)
Issue (Month): (June)
Pages:

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Handle: RePEc:col:000438:012783
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