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El comportamiento del tipo de cambio real en Colombia: ¿Explicado por sus fundamentales?

Listed author(s):
  • Carolina Arteaga


  • Joan Camilo Granados


  • Jair Ojeda Joya


En este trabajo estudiamos el comportamiento del tipo de cambio real (TCR) de Colombia con la ayuda de un modelo de cointegración que considera la interacción entre el TCR y un conjunto de determinantes macroeconómicos durante el periodo 1994-2012 con datos trimestrales. Estos fundamentales incluyen un nuevo indicador de productividad relativa el cual nos permite estimar el impacto del efecto Balassa-Samuelson sobre el TCR de Colombia. Esta metodología permite detectar los trimestres en los cuales el TCR se encuentra alejado de su relación de cointegración y por tanto, no está explicado por el comportamiento de sus fundamentales. Los resultados indican que la apreciación real observada desde finales de 2003 es explicada principalmente por el aumento en los términos de intercambio y en segundo lugar por el efecto Balassa-Samuelson. Adicionalmente, la dinámica del TCR se explica principalmente por el movimiento en los activos externos netos en el corto plazo y por el del consumo del gobierno en el mediano plazo.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 742.

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Length: 35
Date of creation: Oct 2012
Handle: RePEc:bdr:borrec:742
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  1. Ronald MacDonald & Preethike Dias, 2007. "Behavioural equilibrium exchange rate estimates and implied exchange rate adjustments for ten countries," Working Papers 2007_12, Business School - Economics, University of Glasgow.
  2. Pierre Perron & Tomoyoshi Yabu, 2005. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-026, Boston University - Department of Economics.
  3. Rodrigo Caputo G. & Marco Núñez N, 2008. "Equilibrium Real Exchange Rate in Chile: Alternative Approaches," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 59-77, August.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, September.
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