IDEAS home Printed from https://ideas.repec.org/p/col/000416/008294.html
   My bibliography  Save this paper

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 años 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 años 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 008294, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  • Handle: RePEc:col:000416:008294
    as

    Download full text from publisher

    File URL: http://cea.javeriana.edu.co/documents/153049/2786252/Vol.10_7_2010.pdf/3350070c-e09c-40f4-8dfb-9290b3de9a0f
    Download Restriction: no

    References listed on IDEAS

    as
    1. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund.
    2. Hinkle, Lawrence E. & Monteil, Peter J. (ed.), 1999. "Exchange Rate Misalignment: Concepts and Measurement for Developing Countries," OUP Catalogue, Oxford University Press, number 9780195211269.
    3. Juan Carlos Parra Alvarez, 2008. "Hechos Estilizados de la Economía Colombiana:Fundamentos Empíricos para la Construcción y Evaluación de un Modelo DSGE," BORRADORES DE ECONOMIA 004602, BANCO DE LA REPÚBLICA.
    4. Juan José Echavarría & Diego Vásquez & Mauricio Villamiza, 2005. "La tasa de cambio real en Colombia ¿Muy lejos del equilibrio?," Revista Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 23(49), pages 134-191, December.
    5. Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2002. "Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 437-461, December.
    6. Santiago Herrera Aguilera, 1989. "Determinantes De La Trayectoria Del Tipo De Cambio Real En Colombia," Revista Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 8(15), pages 5-23, June.
    7. Joseph Joyce & Linda Kamas, 2003. "Real and nominal determinants of real exchange rates in Latin America: Short-run dynamics and long-run equilibrium," Journal of Development Studies, Taylor & Francis Journals, vol. 39(6), pages 155-182.
    8. Alberto Carrasquilla & Andrés Felipe Arias, 1996. "Tipo de Cambio Real en Colombia: ¿que pasó?," BORRADORES DE ECONOMIA 003644, BANCO DE LA REPÚBLICA.
    9. Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute.
    10. Edwards, Sebastian, 1988. "Real and monetary determinants of real exchange rate behavior: Theory and evidence from developing countries," Journal of Development Economics, Elsevier, vol. 29(3), pages 311-341, November.
    11. Detken, Carsten & Dieppe, Alistair & Henry, Jérôme & Marin, Carmen & Smets, Frank, 2002. "Model uncertainty and the equilibrium value of the real effective euro exchange rate," Working Paper Series 0160, European Central Bank.
    12. Jesús G. Otero, 1997. "Los determinantes de la tasa de cambio real en Colombia," COYUNTURA ECONÓMICA, FEDESARROLLO, December.
    13. John F. Henry, 1984. "On Equilibrium," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 6(2), pages 214-229, January.
    14. Tatsuyoshi Miyakoshi, 2003. "Real exchange rate determination: Empirical observations from East-Asian countries," Empirical Economics, Springer, vol. 28(1), pages 173-180, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    DSGE; Estimación Bayesiana; Tipo de Cambio Real; TNT;

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000416:008294. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mayerly Galindo Rodriguez). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.