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Descomposición histórica de choques del tipo de cambio real en Colombia: un enfoque DSGE

Author

Listed:
  • Luis Alejandro Lee P
  • Angélica María Quiroga E.

Abstract

El trabajo utiliza un modelo DSGE de ciclos reales con dos sectores productivos, uno transabley uno no transable, para realizar una descomposición histórica de choques del tipo de cambio realen Colombia en el período comprendido entre los anos 2000 y 2009. Dicha descomposición estimael poder explicativo de choques estructurales en la tecnología y tasa de interés período a período,lo cual representa una ventaja frente a metodologías más tradicionales como la descomposiciónde varianza, la cual realiza el ejercicio como un promedio de todo el período de observación. Losresultados muestran que en promedio el modelo explica 55% del comportamiento del tipo de cambioreal, teniendo que al principio y al final de la década el choque al tipo de interés fue el dominante,mientras en los anos 2006, 2007 y 2008 lo fue el choque a la productividad transable.

Suggested Citation

  • Luis Alejandro Lee P & Angélica María Quiroga E., 2010. "Descomposición histórica de choques del tipo de cambio real en Colombia: un enfoque DSGE," Vniversitas Económica 8294, Universidad Javeriana - Bogotá.
    • Handle: RePEc:col:000416:008294
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    File URL: http://cea.javeriana.edu.co/documents/153049/2786252/Vol.10_7_2010.pdf/3350070c-e09c-40f4-8dfb-9290b3de9a0f
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    References listed on IDEAS

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    More about this item

    Keywords

    DSGE; Estimación Bayesiana; Tipo de Cambio Real; TNT;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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