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Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural

  • Martha Misas A

    ()

  • Juan José Echavarría S
  • Enrique López E

Se utiliza la metodología VAR estructural para evaluar el impacto conjunto de las intervenciones cambiarias y de la política monetaria convencional sobre la tasa de cambio, la tasa de interés y las demás variables del sistema. Se encuentra que las compras netas de divisas devalúan ignificativamente la tasa de cambio nominal durante un período cercano a 1 mes, en parte debido a que las compras no han sido esterilizadas en su totalidad, y a que han anunciado una política monetaria expansiva en el futuro (el llamado canal de signaling). Ello plantea conflictos potenciales de política en un régimen de inflación objetivo. La tasa de cambio nominal aparece determinada con igual fuerza por variables nominales y reales. No se encuentra evidencia de la paridad no cubierta, quizá por la incapacidad de capturar adecuadamente variables como el riesgo y las expectativas de tasa de cambio y de precios.

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File URL: http://cea.javeriana.edu.co/documents/153049/2786252/Vol.10_6_2010.pdf/3d5af057-5cbc-4c7f-b338-b01a6035769d
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Paper provided by UNIVERSIDAD JAVERIANA - BOGOTÁ in its series VNIVERSITAS ECONÓMICA with number 008293.

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Length: 37
Date of creation: 31 May 2010
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Handle: RePEc:col:000416:008293
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