Exchange rate dynamics, structural breaks, and central bank interventions in Colombia

• Uribe, Jorge Mario ^[1] ; Restrepo López, Natalia ^[1]
  1. [1] Universidad del Valle
• Localización: Ecos de Economía, ISSN-e 1657-4206, Vol. 19, Nº. 41, 2015
• Idioma: inglés
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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.