Article

Volatilidad de la tasa de cambio nominal en Colombia

BANCO DE LA REP�BLICA, BORRADORES DE ECONOMIA 01/2007;
Source: RePEc

ABSTRACT Teniendo en cuenta que la volatilidad de la tasa de cambio puede afectar en gran medida al sector real y financiero, se hace un estudio comparativo entre Colombia y once pa�ses seleccionados, algunos por su similitud con Colombia en algunos aspectos y otros porque sus monedas son una referencia obligada (Euro y Yen). Se analiza la caracterizaci�n de la din�mica c�clica de la volatilidad, su persistencia y sus determinantes. Se encuentra que la volatilidad de Colombia es una de las menores (octava de un total de doce), aunque es la segunda m�s persistente. Adicionalmente, se encuentra que en Colombia la volatilidad es mayor en per�odos de devaluaci�n que en los de revaluaci�n. Se observa que el ciclo de la tasa de cambio en Colombia est� caracterizado por ser de mayor amplitud que en otros pa�ses y con un per�odo superior, lo que sugiere mayor persistencia en t�rminos de nivel. Desde el punto de vista de sus determinantes se puede concluir que aumentos en el EMBI (riesgo pa�s) generan incrementos de volatilidad, mientras que los l�mites a la posici�n propia de contado (PPC) reducen dicha volatilidad.

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