Abstract

http://ssrn.com/abstract=928500
 
 

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Evolution of the Colombia Peso whitin the Currency Bands, Nonlinearity Analysis and Stochastic Modeling


Alejandro Revéiz


Banco de la Republica


Revista de Economia del Rosario, Vol. 5, No. 1, 2002

Abstract:     
This paper studies the behavior of the Colombian Peso exchange rate against the US dollar for the period in which a currency band as prevailing (January 1994 - Sept 1999). A descriptive analysis, which encompasses monetary policy implementation, a description of the market structure and participants, as well as the evolution of the foreign exchange rate is presented. Because a linear relationship fails to account for the evolution of the nominal exchange rate in terms of the real sector supply and demand and financial system's foreign exchange positions, neural networks techniques are used in order to get some insight on the non-linearity tests of the time series. Consequently, statistical tests- including non-linearity tests- are performed in order to further examine the properties of the returns data and an analysis of a three-volatility-regime stochastic model with mean reversion fitted to the data in prior work is expanded.

Number of Pages in PDF File: 55

Keywords: Exchange rates, non linearity, stochasting modelling, monetary policy

JEL Classification: G10, G18, E5, E42, E44

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Date posted: September 6, 2006  

Suggested Citation

Revéiz, Alejandro, Evolution of the Colombia Peso whitin the Currency Bands, Nonlinearity Analysis and Stochastic Modeling. Revista de Economia del Rosario, Vol. 5, No. 1, 2002. Available at SSRN: http://ssrn.com/abstract=928500

Contact Information

Alejandro Revéiz (Contact Author)
Banco de la Republica ( email )
Carrera 7 #14-78
Bogota
Colombia
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