Exchange rate dynamics, structural breaks, and central bank interventions in Colombia
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Resumen
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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Referencias
Andrews, D. W. K. (1993). Tests for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, 61(4), 821-856.
Andrews, D. W. K., & Ploberger, W. (1994). Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative. Econometrica, 62(6), 383-414.
Bai, J. (1997). Estimation Of A Change Point In Multiple Regression Models. The Review of Economics and Statistics, 79(4), 551-563.
Bai, J., & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66(1), 47-78.
Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22.
Cabrera, M. (2013). 10 años de revaluación. Bogotá: Oveja Negra.
Carranza, J. E., & Moreno, S. (2013). Tamaño y estructura vertical de la cadena de producción industrial colombiana desde 1990. Borradores de Economía, 751.
Chow, G. C. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
Clavijo, S., Vera, A., & Fandiño, A. (2012). La desindustrialización en Colombia: análisis cuantitativo de sus determinantes. Bogotá: ANIF.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
Echavarría, J. J., Vásquez, D., & Villamizar, M. (2009). Impacto de las intervenciones bancarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia. Borradores de Economía, 561.
Enders, W. (2010). Applied Econometric Time Series, 3rd ed. New York: John Wiley & Sons.
Frankel, J. A. (1979). On the Mark: A theory of floating exchange rates based on real interest differential. American Economic Review, 69, 610-622.
Frenkel, J. A. (1976). A Monetary Approach to the Exchange Rate: Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics, 78, 200-224.
Gabaix, X., & Maggiori, M. (2014). International Liquidity And Exchange Rate Dynamics. NBER Working Paper Series, 19854.
García-Herrero, A., Urbiola, P., Dos Santos, E., Urbiola, P., Dal Bianco, M., Soto, F., et al. (2014). Competitiveness in the Latin American manufacturing sector: trends and determinants. BBVA Research. Working Paper, 14/11.
Gómez-González, J., & García-Suaza, A. (2012). A Simple Test of Momentum in Foreign Exchange Markets. Emerging Markets Finance and Trade, 48(5), 66-77.
Hamilton, D., & Susmel, R. (1994). Autoregresive conditional heteroskedasticity and changes in regime. Journal of Econometrics, 64, 307-333.
Hansen, B. E. (1997). Approximate Asymptotic P Values for Structural-Change Tests. Journal of Business and Economic Statistics, 15(1), 60-67.
Hansen, B. E. (2001). The New Econometrics of Structural. Journal of Economic Perspectives, 15(4), 117-128.
Hatanaka, M., & Yamada, K. (1999). A unit root test in the presence of structural changes in I(1) and I(0) Models. In: R. F.
Engle, & H. White (Eds.). Cointegration, Causality, and Forecasting. Oxford: Oxford University Press.
Hayashi, F. (2000). Econometrics. Princeton: Princeton University Press.
Kamil, H. (2008). Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia. International Monetary Fund. Working Paper, 08/88.
Kim, D., & Perron, P. (2009). Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses. Journal of Econometrics, 148(1), 1-13.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root ? Journal of Econometrics, 54(1-3), 159-178.
Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in Variance, Structural Change, and the Garch Model. Journal of Business & Economic Statistics, American Statistical Association, 8(2), 225-234.
Mackinnon, J. G. (2010). Critical Values for Cointegration Tests. Queen`s Economics Department. Working Paper, 1227.
Meese, R., & Rogoff, K. S. (1983). Empirical Exchange Rate Models Of The Seventies. Do they fit out of sample? Journal of International Economics, 14, 2-24.
Newey, W., & West, K. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.
Ortiz, C., Uribe, J., & Vivas, H. (2009). Transformación industrial, autonomía tecnológica y crecimiento económico: Colombia 1925-2005. Archivos de Economía, 352.
Perron, P., & Zhu, X. (2005). Structural breaks with deterministic and stochastic trends. Journal of Econometrics, 129(1-2), 65-119. doi:10.1016/j.jeconom.2004.09.004.
Perron, P. (2006). Dealing with a Structural Breaks. The Palgrave Handbook of Econometrics. Volume 1: Econometric Theory. Basingstoke: Palgrave Macmillan.
Powell, A. (2014). Global Recovery and Monetary: Escaping a Chronicle Foretold? Inter-American Development Bank (IDB).
Quandt, R. E. (1958). The Estimation of the Parameters of a Linear Regression System Obeying two Separate Regimes. Journal of the American Statistical Association, 53(284), 873-880.
Quandt, R. E. (1960). Tests of the Hypothesis that a Linear Regression Obeys Two Separate Regimes. Journal of the American Statistical Association, 55(290), 324-330.
Rapach, D. E., & Strauss, J. K. (2008). Structural breaks and Garch models of exchange rate volatility. Journal of Applied Econometrics, 23(1), 65-90.
Restrepo, N. (2012). Eficiencia informacional en algunos mercados cambiarios latinoamericanos. (Tesis de pregrado inédita). Universidad del Valle, Cali, Colombia.
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrica, 71(3), 599-607.
Toro, J., & Julio, J. M. (2005). Efectividad de la intervención discrecional del Banco de la República en el mercado cambiario. Borradores de Economía, 336.
Uribe, J., & Fernández, J. (2014). Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos. Cuadernos de Economía, 33(63), 613-634.
Andrews, D. W. K., & Ploberger, W. (1994). Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative. Econometrica, 62(6), 383-414.
Bai, J. (1997). Estimation Of A Change Point In Multiple Regression Models. The Review of Economics and Statistics, 79(4), 551-563.
Bai, J., & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66(1), 47-78.
Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22.
Cabrera, M. (2013). 10 años de revaluación. Bogotá: Oveja Negra.
Carranza, J. E., & Moreno, S. (2013). Tamaño y estructura vertical de la cadena de producción industrial colombiana desde 1990. Borradores de Economía, 751.
Chow, G. C. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
Clavijo, S., Vera, A., & Fandiño, A. (2012). La desindustrialización en Colombia: análisis cuantitativo de sus determinantes. Bogotá: ANIF.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
Echavarría, J. J., Vásquez, D., & Villamizar, M. (2009). Impacto de las intervenciones bancarias sobre el nivel y la volatilidad de la tasa de cambio en Colombia. Borradores de Economía, 561.
Enders, W. (2010). Applied Econometric Time Series, 3rd ed. New York: John Wiley & Sons.
Frankel, J. A. (1979). On the Mark: A theory of floating exchange rates based on real interest differential. American Economic Review, 69, 610-622.
Frenkel, J. A. (1976). A Monetary Approach to the Exchange Rate: Doctrinal aspects and empirical evidence. Scandinavian Journal of Economics, 78, 200-224.
Gabaix, X., & Maggiori, M. (2014). International Liquidity And Exchange Rate Dynamics. NBER Working Paper Series, 19854.
García-Herrero, A., Urbiola, P., Dos Santos, E., Urbiola, P., Dal Bianco, M., Soto, F., et al. (2014). Competitiveness in the Latin American manufacturing sector: trends and determinants. BBVA Research. Working Paper, 14/11.
Gómez-González, J., & García-Suaza, A. (2012). A Simple Test of Momentum in Foreign Exchange Markets. Emerging Markets Finance and Trade, 48(5), 66-77.
Hamilton, D., & Susmel, R. (1994). Autoregresive conditional heteroskedasticity and changes in regime. Journal of Econometrics, 64, 307-333.
Hansen, B. E. (1997). Approximate Asymptotic P Values for Structural-Change Tests. Journal of Business and Economic Statistics, 15(1), 60-67.
Hansen, B. E. (2001). The New Econometrics of Structural. Journal of Economic Perspectives, 15(4), 117-128.
Hatanaka, M., & Yamada, K. (1999). A unit root test in the presence of structural changes in I(1) and I(0) Models. In: R. F.
Engle, & H. White (Eds.). Cointegration, Causality, and Forecasting. Oxford: Oxford University Press.
Hayashi, F. (2000). Econometrics. Princeton: Princeton University Press.
Kamil, H. (2008). Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia. International Monetary Fund. Working Paper, 08/88.
Kim, D., & Perron, P. (2009). Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses. Journal of Econometrics, 148(1), 1-13.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root ? Journal of Econometrics, 54(1-3), 159-178.
Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in Variance, Structural Change, and the Garch Model. Journal of Business & Economic Statistics, American Statistical Association, 8(2), 225-234.
Mackinnon, J. G. (2010). Critical Values for Cointegration Tests. Queen`s Economics Department. Working Paper, 1227.
Meese, R., & Rogoff, K. S. (1983). Empirical Exchange Rate Models Of The Seventies. Do they fit out of sample? Journal of International Economics, 14, 2-24.
Newey, W., & West, K. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.
Ortiz, C., Uribe, J., & Vivas, H. (2009). Transformación industrial, autonomía tecnológica y crecimiento económico: Colombia 1925-2005. Archivos de Economía, 352.
Perron, P., & Zhu, X. (2005). Structural breaks with deterministic and stochastic trends. Journal of Econometrics, 129(1-2), 65-119. doi:10.1016/j.jeconom.2004.09.004.
Perron, P. (2006). Dealing with a Structural Breaks. The Palgrave Handbook of Econometrics. Volume 1: Econometric Theory. Basingstoke: Palgrave Macmillan.
Powell, A. (2014). Global Recovery and Monetary: Escaping a Chronicle Foretold? Inter-American Development Bank (IDB).
Quandt, R. E. (1958). The Estimation of the Parameters of a Linear Regression System Obeying two Separate Regimes. Journal of the American Statistical Association, 53(284), 873-880.
Quandt, R. E. (1960). Tests of the Hypothesis that a Linear Regression Obeys Two Separate Regimes. Journal of the American Statistical Association, 55(290), 324-330.
Rapach, D. E., & Strauss, J. K. (2008). Structural breaks and Garch models of exchange rate volatility. Journal of Applied Econometrics, 23(1), 65-90.
Restrepo, N. (2012). Eficiencia informacional en algunos mercados cambiarios latinoamericanos. (Tesis de pregrado inédita). Universidad del Valle, Cali, Colombia.
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrica, 71(3), 599-607.
Toro, J., & Julio, J. M. (2005). Efectividad de la intervención discrecional del Banco de la República en el mercado cambiario. Borradores de Economía, 336.
Uribe, J., & Fernández, J. (2014). Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos. Cuadernos de Economía, 33(63), 613-634.