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

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  • Martha Misas A
  • Juan José Echavarría S
  • Enrique López E

Abstract

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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  • Martha Misas A & Juan José Echavarría S & Enrique López E, 2010. "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural," Vniversitas Económica 8293, Universidad Javeriana - Bogotá.
  • Handle: RePEc:col:000416:008293
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    Cited by:

    1. Solomiia Brychka & Denys Klynovskyi & Dmytro Krukovets & Artem Oharkov, 2019. "Meta-Analysis: Meta-Analysis: Effect of FX interventions on the exchange rate," Modern Economic Studies, Kyiv School of Economics, vol. 2(1), pages 24-44.
    2. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," Revista de Economía del Caribe 14794, Universidad del Norte.
    3. Соломія Бричка & Денис Клиновський & Дмитро Круковець & Артем Огарков, 2019. "Мета-аналіз: ефект fx-інтервенцій на валютний курс," Suchasni ekonomichni doslidzhennja, Kyiv School of Economics, vol. 2(1), pages 24-47.

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    More about this item

    Keywords

    intervención cambiaria; política monetaria; VAR estructural;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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