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Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia

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  • Hugo Oliveros
  • Carlos Huertas

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Abstract

La estimación de los desequilibrios nominales y reales del tipo de cambio en Colombia es abordada en este docuemnto a partir de la construcción de dos componentes: el permanente asociado con una tendencia estocástica y el transitorio vinculado con el ciclo. La separación entre lo permanente y lo transitorio se hace usando relaciones de largo plazo entre el tipo de cambio nominal (real) y sus determinantes fundamentales. La estimación de los desequilibrios nominales y reales(componente transitorio) se lleva a cabo para diferentes frecuencias (anual y trimestral) y periodos de información y se usan varios modelos de determinación del tipo de cambio nominal y real. El concepto de "common trends" (dual de cointegración) es introducido aquí para construir una variable no-observada, "el nivel de equilibrio" y para derivar medidas de desequilibrio. Es decir, se opta por derivar el componente permanente o de largo plazo del tipo de cambio nominal (o real) y asociarlo a su nivel de equilibrio y obtener por residuo su componente transitorio y relacionarlo con el desequilibrio.Dicha descomposición además de recuperar el componente no-estacionario (la tendencia estocástica) y estacionario (el ciclo), se hace usando los determinnates del tipo de cambio. Los resultados sugieren que el tipo de cambio real estuvo por debajo de su nivel de equilibrio durante los últimos periodos y que a marzo de 2002 continuaba ligeramente por debajo de éste.

Suggested Citation

  • Hugo Oliveros & Carlos Huertas, 2002. "Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia," Borradores de Economia 220, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:220
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    References listed on IDEAS

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