Volatilidad de la tasa de cambio nominal en Colombia y su relación con algunas variables

Abstract

"The paper makes a comparative analysis of the exchange rate volatility in Colombia and in eleven other countries, studies the cyclical dynamic of exchange rate volatility, its persistence and some of its possible determinants. Results show that the daily volatility of the nominal exchange rate in Colombia is one of the smallest, but the second most persistent, and that the daily conditional variance is higher in devaluation periods than in revaluation phases. Also, the exchange rate cycle in Colombia presents higher amplitude than the observed in other countries and a larger period, suggesting a higher persistence in its level. In relation to the determinants of exchange rate volatility, the paper finds that there is a relationship between increases in risk (i.e. spreads on sovereign debt - embi ) and increases in exchange rate volatility and that the limits on the current foreign currency position ( ppc ) have a negative relationship with the conditional volatility of the nominal exchange rate."