Exchange rate dynamics, structural breaks, and central bank interventions in Colombia

Ecos de Economía: A Latin American Journal of Applied Economics

Natalia Restrepo López¹  Jorge Mario Uribe¹ 

[1] Universidad del Valle

关键词: Colombia;    exchange rate behavior;    martingale;    multiple breaks;    random walk;    structural breaks.;   

DOI  :  

学科分类：社会科学、人文和艺术（综合）

来源: Universidad Eafit

【 摘 要 】

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.

【 授权许可】

Unknown