Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach
Costas Milas and
Jesus Otero
No 3231, Borradores de Investigación from Universidad del Rosario
Abstract:
We examine the long-run relationship between the parallel and the official exchange rate in Colombia over two regimes; a crawling peg period and a more flexible crawling band one. The short-run adjustment process of the parallel rate is examined both in a linear and a non-linear context. We find that the change from the crawling peg to the crawling band regime did not affect the long-run relationship between the official and parallel exchange rates, but altered the short-run dynamics. Non-linear adjustment seems appropriate for the first period, mainly due to strict foreign controls that cause distortions in the transition back to equilibrium once disequilibrium occurs.
Keywords: Parallel market; cointegration; non-linear error correction models; Colombia (search for similar items in EconPapers)
JEL-codes: C32 F31 O54 (search for similar items in EconPapers)
Pages: 22
Date: 2000-02-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://repository.urosario.edu.co/bitstream/handle/10336/11301/3231.pdf
Related works:
Journal Article: Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach (2003)
Working Paper: Modelling Official And Parallel Exchange Rates In Colombia Under Alternative Regimes: A Non-Linear Approach (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:col:000091:003231
Access Statistics for this paper
More papers in Borradores de Investigación from Universidad del Rosario Contact information at EDIRC.
Bibliographic data for series maintained by Facultad de Economía (mariajos.pinzon@urosario.edu.co).