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Impacto de las Intervenciones Cambiarias sobre el Nivel y la Volatilidad de la Tasa de Cambio en Colombia

Listed author(s):
  • Juan José Echavarría

    ()

  • Diego Vásquez

    ()

  • Mauricio Villamizar

Este trabajo evalúa los determinantes de las compras de divisas y su impacto sobre la tasa de cambio nominal en Colombia durante 2000-2008. Estimaciones Tobit muestran que el Banco Central compró divisas para compensar las reevaluaciones 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 E-GARCH muestra que las compras de divisas devaluaron la tasa de cambio y redujeron su volatilidad, tanto en el corto (1 día) como en el mediano plazo (1 mes, 3 meses y 6 meses). Las posibles contradicciones macroeconómicas no fueron suficientemente fuertes como para afectar la función de reacción de las autoridades o el impacto de las intervenciones. El trabajo utiliza metodologías que permiten evaluar la estabilidad de los parámetros de la ecuación de media y de volatilidad para el modelo E-GARCH en forma simultánea.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 561.

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Date of creation: Apr 2009
Handle: RePEc:bdr:borrec:561
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  2. Disyatat, Piti & Galati, Gabriele, 2007. "The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 383-402, April.
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  8. Anna J. Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention," NBER Working Papers 7751, National Bureau of Economic Research, Inc.
  9. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
  10. Kearns, Jonathan & Rigobon, Roberto, 2005. "Identifying the efficacy of central bank interventions: evidence from Australia and Japan," Journal of International Economics, Elsevier, vol. 66(1), pages 31-48, May.
  11. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders," NBER Working Papers 7417, National Bureau of Economic Research, Inc.
  12. Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, Oxford University Press, vol. 106(3), pages 669-682.
  13. Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 853-878, December.
  14. Almekinders, G.J. & Eijffinger, S.C.W., 1992. "Daily Bundesbank and federal reserve intervention and the conditional variance tale in DM/$-returns," Research Memorandum FEW 554, Tilburg University, School of Economics and Management.
  15. Mark P. Taylor & Lucio Sarno, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?," Journal of Economic Literature, American Economic Association, vol. 39(3), pages 839-868, September.
  16. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
  17. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
  18. Kim, Soyoung, 2003. "Monetary policy, foreign exchange intervention, and the exchange rate in a unifying framework," Journal of International Economics, Elsevier, vol. 60(2), pages 355-386, August.
  19. Herman Kamil, 2008. "Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia," IMF Working Papers 08/88, International Monetary Fund.
  20. Dominguez, Kathryn M & Frankel, Jeffrey A, 1993. "Does Foreign-Exchange Intervention Matter? The Portfolio Effect," American Economic Review, American Economic Association, vol. 83(5), pages 1356-1369, December.
  21. Beine, Michel & Bernal, Oscar, 2007. "Why do central banks intervene secretly?: Preliminary evidence from the BoJ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 291-306, July.
  22. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
  23. Mark P. Taylor, 2004. "Is Official Exchange Rate Intervention Effective?," Economica, London School of Economics and Political Science, vol. 71, pages 1-11, 02.
  24. Christelle Lecourt & Helene Raymond, 2006. "Central bank interventions in industrialized countries: a characterization based on survey results," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 123-138.
  25. Ousmene J Mandeng, 2003. "Central Bank Foreign Exchange Market Intervention and Option Contract Specification; The Case of Colombia," IMF Working Papers 03/135, International Monetary Fund.
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