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Volatilidad cambiaria en Colombia: cuantificación y determinantes

Author

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  • María Angélica Arbeláez

    ()

  • Roberto Steiner

    ()

Abstract

Existe cierta percepción en el país de que el peso colombiano es excesivamente volátil y de que ello en parte es consecuencia de la activa participación de los Fondos de Pensiones Obligatorias (FPOs) en el mercado cambiario. En este documento realizamos dos ejercicios. En primer lugar, estimamos diferentes medidas que nos permiten comparar, a diversas frecuencias, la volatilidad del peso con la de otras monedas y con la del mercado accionario local. En segundo lugar, analizamos algunos posibles determinantes de dicha volatilidad, incluyendo dentro de éstos el papel de los FPOs y el de las intervenciones del Banco de la República. Encontramos que la tasa de cambio en Colombia no ha sido persistentemente más volátil que en otros países como México, Brasil y Chile e incluso que el euro, aun cuando la volatilidad en Colombia aumentó en forma importante en 2005 a tasas superiores a las registradas en estos países, que la volatilidad ha sido mayor en períodos de devaluación que de revaluación de la tasa de cambio. También encontramos que, a pesar de que existe una relación positiva entre la operación de los FPO en el mercado cambiario y la volatilidad del peso, estos agentes.no parecen ser los responsables de la mayor volatilidad que se ha registrado recientemente en el país

Suggested Citation

  • María Angélica Arbeláez & Roberto Steiner, 2009. "Volatilidad cambiaria en Colombia: cuantificación y determinantes," WORKING PAPERS SERIES. DOCUMENTOS DE TRABAJO 009073, FEDESARROLLO.
  • Handle: RePEc:col:000123:009073
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    File URL: http://hdl.handle.net/11445/247
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    References listed on IDEAS

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    1. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    2. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," CEPR Discussion Papers 1060, C.E.P.R. Discussion Papers.
    3. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, April.
    4. Juan José Echavarría & Mauricio Villamizar & Diego Vásquez, 2010. "Impacto de las intervenciones cambiarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(62), pages 12-69, Junio.
    5. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters,in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1 National Bureau of Economic Research, Inc.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Herman Kamil, 2008. "Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia," IMF Working Papers 08/88, International Monetary Fund.
    8. Pedro Felipe Lega & Andrés Murcia & Diego Vásquez & Tatiana Venegas, 2007. "Volatilidad de la tasa de cambio nominal en Colombia," BORRADORES DE ECONOMIA 004390, BANCO DE LA REPÚBLICA.
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    Cited by:

    1. Concha, Alvaro & Galindo, Arturo José & Vasquez, Diego, 2011. "An assessment of another decade of capital controls in Colombia: 1998–2008," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 319-338.

    More about this item

    Keywords

    Fondos de Pensiones Obligatorias; Mercado cambiario; Volatilidad cambiaria; Colombia;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy

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