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El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006

  • Mauricio A. Hernández Monsalve

    ()

  • Ramón Javier Mesa Callejas

    ()

El objetivo de este artículo es medir el tamaño relativo de las intervenciones cambiarias realizadas en el periodo de la revaluación del peso, entre 2004 y 2006, y calcular la efectividad de éstas en cuanto a sus efectos sobre la media y la varianza del tipo de cambio nominal. La propuesta de un modelo de determinación del tipo de cambio, que parte del modelo de balance de portafolio, y el uso de un índice de intervención construido para el caso colombiano, permiten concluir que las intervenciones del Banco de la República, con miras a defender el régimen de flotación controlada, han tenido efectos pequeños y transitorios en el nivel y la varianza del tipo de cambio, presentando rezagos de varios días y siendo descontadas rápidamente por el mercadoThe object of this article is to measure the relative size of the exchange interventions made in the period of the peso revaluation, between 2004 and 2006, and to calculate the effectiveness of these by mean of its effects on the average and the variance of the exchange nominal rate. The proposal of a model of determination of the exchange nominal rate, that derive from the portfolio balance model, and the use of an intervention index constructed for the Colombian case, allow to conclude that the interventions of the Banco de la República, for defending the regime of managed flotation, have had small and transitory effects in the level and the variance of the exchange nominal rate, presenting lags of several days and being discounted quickly by the market

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Paper provided by UNIVERSIDAD DE ANTIOQUIA - CIE in its series BORRADORES DEL CIE with number 004192.

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Length: 25
Date of creation: 30 Oct 2006
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Handle: RePEc:col:000099:004192
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  1. Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
  2. Michael D. Bordo, 2003. "Exchange Rate Regime Choice in Historical Perspective," IMF Working Papers 03/160, International Monetary Fund.
  3. Stanley Fischer, 2001. "Exchange Rate Regimes: Is the Bipolar View Correct?," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 3-24, Spring.
  4. Laurence Ball, 1998. "Policy Rules for Open Economies," RBA Research Discussion Papers rdp9806, Reserve Bank of Australia.
  5. Bofinger, Peter & Wollmershäuser, Timo, 2003. "Managed floating as a monetary policy strategy," Munich Reprints in Economics 20206, University of Munich, Department of Economics.
  6. Jeffrey A. Frankel and Richard Meese., 1987. "Are Exchange Rates Excessively Variable," Economics Working Papers 8738, University of California at Berkeley.
  7. Frankel, Jeffrey, 2003. "Experience of and Lessons from Exchange Rate Regimes in Emerging Economies," Working Paper Series rwp03-011, Harvard University, John F. Kennedy School of Government.
  8. Guillermo A. Calvo & Carmen M. Reinhart, 2000. "Fear of Floating," NBER Working Papers 7993, National Bureau of Economic Research, Inc.
  9. Bofinger, Peter & Wollmershäuser, Timo, 2001. "Managed floating: Understanding the new international monetary order," W.E.P. - Würzburg Economic Papers 30, University of Würzburg, Chair for Monetary Policy and International Economics.
  10. Fischer, Andreas M & Zurlinden, Mathias, 1999. "Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices," Economic Journal, Royal Economic Society, vol. 109(458), pages 662-76, October.
  11. Anna J. Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention," NBER Working Papers 7751, National Bureau of Economic Research, Inc.
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