F31

Two FX policy issues are discussed based on the recent Colombian experience. First, the increased participation of foreign investors in local bond markets since 2014 induced a reassessment of international reserve adequacy. We present the resulting LCR-type methodology to evaluate…

Although transactions of foreign exchange market intermediaries with the real sector in the peso-dollar market are low in comparison to the ones with offshore agents, it is important to understand the behavior of the real sector and its impact on the exchange market. This paper assesses…

RESUMEN NO TÉCNICO

‘La efectividad de la intervención cambiaria y la influencia de la incertidumbre sobre la tasa de cambio’

The opinions contained in this document are the sole responsibility of the authors and do not commit Banco de la Republica or its Board of Directors.

The international financial crisis of 2007-2009 strongly affected asset prices, risk and growth in the advanced economies, leading to large capital movements between these economies and the emerging countries. The capital movements were reflected in sharp fluctuations in the emerging countries’…

This paper analyses the effectiveness of official interventions of the Colombian Central Bank in the foreign exchange market over the period of June 2008–December 2013. The estimation procedure suggested by Hansen (2000) is used to estimate a threshold model for the spot exchange rate that…

Abstract

This paper investigates the role of monetary policy in a small open economy, where exchange rate shocks are important. VAR models are estimated for the Czech Republic, Hungary and Poland. Contemporaneous and sign restrictions are imposed in order to identify the effect of monetary policy and…

The relatively large depreciation of the Colombian peso to the US dollar during 2002 has posed a challenge for Colombian monetary policy. From end-2001 to end-2002 the USD/COP rate of exchange depreciated by some 20.0 percent,1 while consumer prices during the same…

The primary objective of this paper is to examine the role of the exchange rate in determining short-and-long-run trade balance behavior for Colombia in a model which includes money and income. That is, the aim is to examine whether the trade balance ¡is affected by the exchange rate and whether…

The opinions contained in this document are the sole responsibility of the authors and do not commit Banco de la República or its Board of Directors.

ABSTRACT

In this paper we analyze the effects of financial constraints on the exchange rate through the portfolio balance channel. Our contribution is twofold: First, we construct a tractable two-period general equilibrium model in which financial constraints inhibit capital flows. Hence, departures from…

Most of the literature on the effectiveness of foreign exchange intervention has yet to reach a general consensus. In part, this is due to the different estimation methods in which exogenous variation is identified. In this sense, the use of heavily-dependent parametric models can sometimes…

We estimate a model of real exchange rate determination which is based on interest rate, term structure and purchasing power parities. This model takes into account sovereign risk as a key determinant with possibly non-linear effects. Estimations are performed for five Latin-American economies:…

To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of…

The role of the exchange rate and the exchange rate regime in the monetary policy decision-making process in Colombia is described. The rationale for the intervention of the Central Bank in the FX market is explained and the experience in this regard is reviewed. Special attention is given to…

This paper provides evidence of long run purchasing power parity by performing a recently developed method to test for unit roots in the presence of structural breaks. Data consist of real exchange rate series for 20 countries including developed and developing economies. Structural breaks are…

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign…