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The Exchange Rate and Oil Prices in Colombia: A High Frequency Analysis

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dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.contributor.institucionBanco de la República - Colombiaspa
dc.coverage.ciudadBogotáspa
dc.creatorJulio-Román, Juan Manuelspa
dc.creatorGamboa-Estrada, Fredy Alejandrospa
dc.date.accessioned2019-10-16T20:54:50Zspa
dc.date.available2019-10-16T20:54:50Zspa
dc.date.created2019-09-24spa
dc.description.abstractWe 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 task we also employ co-integration, Univariate Auto-Regressions with residual Stochastic Volatility, UAR-SVTV, and De-trended Cross Correlation, DCC analyses. We found that a stable lon-grun relationship between the two processes is lacking. We also found significant time variation in residual volatility and co-volatility. More specifically, we found that both periods of time, the international financial crisis and the oil price drop of 2015, behave conspicuously different from other “more normal” times. These results are consistent with a shift in the features of the DCC at the start of the crisis. Before the crises the DCCs are positive but weak for different windows sizes, turning negative and significant after it. The latter DCCs and their significance increase with the window size. These results are concurrent, also, with two clearly differentiated periods of time; one when oil production was not financially feasible, and thus production, exports and oil related currency inflows were small, and the other when oil production became feasible because of the price increase, which led to a boom in exploration, production, exports and oil related currency inflows.eng
dc.format.extent45 páginasspa
dc.format.mimetypePDFspa
dc.identifier.urihttps://repositorio.redinvestigadores.org/handle/Riec/41spa
dc.language.isoengeng
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.numberNo. 22spa
dc.relation.repechttps://ideas.repec.org/p/rie/riecdt/22.htmlspa
dc.relation.urihttp://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/9750/be_1091.pdf?sequence=4&isAllowed=yspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processeseng
dc.subject.jelC51 - Model Construction and Estimationeng
dc.subject.jelF31 - Foreign Exchangeeng
dc.subject.jelF41 - Open Economy Macroeconomicseng
dc.subject.jelG15 - International Financial Marketseng
dc.subject.keywordNominal Exchange Rateeng
dc.subject.keywordOil priceseng
dc.subject.keywordSmall Open Economyeng
dc.subject.keywordCo-Volatilityeng
dc.subject.lembTasa de cambio -- Colombiaspa
dc.subject.lembPetróleo -- Precios -- Colombiaspa
dc.subject.lembCombustibles -- Precios -- Colombiaspa
dc.titleThe Exchange Rate and Oil Prices in Colombia: A High Frequency Analysiseng
dc.typeWorking papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de Trabajospa

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