Browsing by Author "Julio-Román, Juan Manuel"
Estimating the Exchange Rate Pass-Through: A Time-Varying Vector Auto-Regression with Residual Stochastic Volatility Approach
The adoption of a Time-Varying Vector Auto-Regression with residual Stochastic Volatility approach to address the state and time dependency of the exchange rate pass-through, ERPT, is proposed. This procedure is employed ...Documentos de Trabajo. 2019-10-16
We study the relationship between daily oil prices and nominal exchange rates between 1995 and 2019 in Colombia through a Time-Varying Vector Auto-Regressions with residual Stochastic Volatility, TV-VAR-SV, model. For this ...Documentos de Trabajo. 2019-09-24