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Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach

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Date
2000-02
Author
Milas, Costas
Otero, JesusAutoridad Universidad de Rosario
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Citation
URI
https://ideas.repec.org/p/col/000091/003231.html...

Summary

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 nonlinear 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

Keyword

Parallel market ; Cointegration ; Non-linear error correction models ; Colombia ;

Subject

Economía financiera ;

Source link

https://ideas.repec.org/p/col/000091/003231.html...

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