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Effects of monetary policy announcements on exchange rate volatility: an analysis for Colombia, 2008-2015

Author

Listed:
  • Juan Galvis

    (Universidad Pontificia Bolivariana)

  • Claudio de Moraes

    (Banco Central de Brasil)

  • Juan Anzoátegui

    (Universidad Autónoma Latinoamericana)

Abstract

This paper seeks evidence on the effects of central bank communication. To do this, the ability of financial markets to predict monetary policy decisions in Colombia is evaluated. Also, the effects of surprise decisions by the central bank of Colombia on exchange rate volatility are estimated. The results show that central bank communication decreases the volatility of the exchange rate. In addition, it is found that other variables such as external risk, the price of oil and external interest rates affect exchange rate volatility in Colombia.

Suggested Citation

  • Juan Galvis & Claudio de Moraes & Juan Anzoátegui, 2017. "Effects of monetary policy announcements on exchange rate volatility: an analysis for Colombia, 2008-2015," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 67-95, Julio - D.
    • Handle: RePEc:lde:journl:y:2017:i:87:p:67-95
    DOI: 10.17533/udea.le.n87a03
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    monetary policy; central bank communication; exchange rate.;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • 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

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