Since 2014
Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
Ecos de Economía: A Latin American Journal of Applied Economics
View Archive Info| Field | Value | |
| Title |
Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
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| Creator |
Uribe, Jorge Mario
Restrepo López, Natalia |
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| Subject |
Colombia, exchange rate behavior, martingale, multiple breaks, random walk, structural breaks.
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| Description |
We evaluate the effectiveness of the Colombian Central Bank´s interventions in the foreign exchange market during the period 2000 to 2014. We examine the stochastic process that describes the exchange rate, with a focus on the detection of structural breaks or unit roots in the data to determine whether the Central Bank´s interventions were effective. We find that the exchange rate can be described either by a random walk or by a trend-stationary model with multiple breaks. In neither cases do we find any evidence that the exchange rate was affected by the Central Bank interventions.
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| Publisher |
Universidad EAFIT
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| Date |
2015-12-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
text/html |
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| Identifier |
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345
10.17230/ecos.2015.41.2 |
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| Source |
Ecos de Economía: A Latin American Journal of Applied Economics; Vol 19 No 41 (2015)
Ecos de Economía: A Latin American Journal of Applied Economics; Vol 19 No 41 (2015) 2462-8107 1657-4206 |
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| Language |
eng
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| Relation |
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345/2830
http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3345/2940 |
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| Rights |
Copyright (c) 2015 Jorge Mario Uribe, Natalia Restrepo López
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