La tasa de cambio y sus impactos en los agregados económicos colombianos: una aproximación FAVAR;
A taxa de câmbio e seus impactos nos agregados econômicos colombianos: uma abordagem FAVAR

dc.creatorCandelo Viafara, Juan Manuel
dc.creatorOviedo Gómez, Andrés
dc.date2021-10-06
dc.date2023-03-22T19:01:33Z
dc.date2023-03-22T19:01:33Z
dc.date.accessioned2023-09-06T17:54:05Z
dc.date.available2023-09-06T17:54:05Z
dc.identifierhttps://revistas.unimilitar.edu.co/index.php/rfce/article/view/5256
dc.identifier10.18359/rfce.5256
dc.identifierhttp://hdl.handle.net/10654/43033
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8693367
dc.descriptionThis document identifies the relationship between the exchange rate and the different macroeconomic aggregates in the Colombian economy, mainly in production, consumption, inflation, trade balance, unemployment rate and investment, through the methodology Factor Augmented var (FAVAR). It is identified that an appreciation of the dollar generates significant changes in economic activity, the trade balance, prices, consumption, and public spending.
dc.descriptionEste documento identifica la relación existente entre la tasa de cambio y los diferentes agregados macroeconómicos en la economía colombiana, principalmente en la producción, el consumo, la inflación, la balanza comercial, la tasa de desempleo y la inversión, a través de la metodología Factor Augmented var (FAVAR). Se identifica que una apreciación del dólar genera cambios significativos sobre la actividad económica, la balanza comercial, los precios, el consumo y el gasto público.
dc.descriptionEste documento identifica a relação entre a taxa de câmbio e os diferentes agregados macroeconômicos da economia colombiana, principalmente na produção, no consumo, na inflação, na balança comercial, na taxa de desemprego e no investimento, por meio da metodologia Factor Augmented var (FAVAR). Identifica-se que a valorização do dólar gera mudanças significativas na atividade econômica, na balança comercial, preços, consumo e gastos públicos.
dc.formatapplication/pdf
dc.formattext/xml
dc.languagespa
dc.publisherUniversidad Militar Nueva Granada
dc.relationhttps://revistas.unimilitar.edu.co/index.php/rfce/article/view/5256/4844
dc.relationhttps://revistas.unimilitar.edu.co/index.php/rfce/article/view/5256/4889
dc.relation/*ref*/Alonso, G., Hernández, J. N., Pulido, J. D. y Villa, M. (2008). Medidas alternativas de tasa de cambio real para Colombia (Borradores de Economía, 514, 20-81). Banco de la República. https://doi.org/10.32468/be.514
dc.relation/*ref*/Balke, N. S., Brown, S. y Yücel, M. (2002). Oil price shocks and the U.S. Economy: Where does the asymmetry originate? Energy Journal, 23(3), 27-52. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol23-No3-2
dc.relation/*ref*/Bai, J. y Ng, S. (2002). Determining the Number of Factors in Approximate Factor Models. Econometrica, 70(1), 191-221. https://doi.org/10.1111/1468-0262.00273
dc.relation/*ref*/Banco de la República, Colombia. (s. f.). Índice de la tasa de cambio real (itcr). https://www.banrep.gov.co/es/estadisticas/tasas-de-cambio-sector-externo-y-derivados
dc.relation/*ref*/Bergstrand, J. H. (1985). The Gravity Equation in International Trade: Some Microeconomic Foundations and Empirical Evidence. Review of Economics and Statistics, 67(3), 474-481. https://doi.org/10.2307/1925976
dc.relation/*ref*/Bernanke, B. S., Boivin, J. y Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (favar) approach. The Quarterly Journal of Economics, 120(1), 387-422. https://doi.org/10.1162/0033553053327452
dc.relation/*ref*/Bernanke, B. S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. Journal of Economics, (98)1, 85-106. https://doi.org/10.2307/1885568
dc.relation/*ref*/Branson, W. H. y Love, J. P. (1988). The Real Exchange Rate, Employment and Output in Manufacturing in the U.S. and Japan. National Bureau of Economic Research, Working Paper 2491. https://doi.org/10.3386/w2491
dc.relation/*ref*/Bjørnland, H. C. (2003). The Economic Effects of North Sea Oil on the Manufacturing Sector. Scottish Journal of Political Economy, 45(5), 553-585. https://doi.org/10.1111/1467-9485.00112
dc.relation/*ref*/Burgess, S. M. y Knetter, M. M. (1998). An International Comparison of Employment Adjustment to Exchange Rate Fluctuations. Review of International Economics, 6(1), 151-163. https://doi.org/10.1111/1467-9396.00094
dc.relation/*ref*/Candelo, J. M. (2021). Índice mensual de incertidumbre financiera y económica (imife) para la economía colombiana. Lecturas de Economía, (95). https://doi.org/10.17533/udea.le.n95a343318
dc.relation/*ref*/Candelo, J. M. (2018). Impactos indirectos de la tasa de cambio y los precios del petróleo en una economía no petrolera: aproximaciones vecm y var para el Valle del Cauca, Colombia. Finanzas y Política Económica, 10(2), 403-436. https://doi.org/10.14718/revfinanzpolitecon.2018.10.2.9
dc.relation/*ref*/Clarida, R.; Galí J. y Gertler, M. (2001). Optimal Monetary Policy in Open versus Closed Economies: An Integrated Approach. American Economic Review, (91)2, 248-52. https://doi.org/10.1257/aer.91.2.248
dc.relation/*ref*/Corden, W. M. (1984). Booming Sector and Dutch Disease Economics: Survey and Consolidation. Oxford Economic Papers, 36(3), 359-380. https://doi.org/10.1093/oxfordjournals.oep.a041643
dc.relation/*ref*/Corsetti, G.; Dedola, L. y Leduc, S. (2010). Optimal Monetary Policy in Open Economies. En B. M. Friedman y M. Woodford, (Eds.), Handbook of Monetary Economics, vol. 3, (pp. 861-933). Elsevier. https://doi.org/10.1016/B978-0-444-53454-5.00004-9
dc.relation/*ref*/dane. (s. f). Cuentas nacionales anuales. https://www.dane.gov.co/index.php/estadisticas-por-tema/cuentas-nacionales
dc.relation/*ref*/Davis, S. J. y Haltiwanger, J. (2001). Sectoral job creation and destruction responses to oil price changes. Journal of Monetary Economics, 48(3), 465-512. https://doi.org/10.1016/S0304-3932(01)00086-1
dc.relation/*ref*/Demir, F. (2010). Exchange Rate Volatility and Employment Growth in Developing Countries: Evidence from Turkey. World Development, 38(8), 1127–1140. https://doi.org/10.1016/j.worlddev.2009.12.019
dc.relation/*ref*/Dickey, D. A. y Fuller, W. A. (1979/2012). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366a), 427- 431. https://doi.org/10.1080/01621459.1979.10482531
dc.relation/*ref*/Dozovic, E. y Pripuzic, D. (2013). Industry Specific Real Effective Exchange Rates in Central and Eastern European Countries [conferencia]. The 8th Young economists’ seminar to 19th Dubrovnik Economic Conference, Croacia, https://www.hnb.hr/documents/20182/120691/dozovic-pripuzic2.pdf/63f6396a-3ad0-4118-98cd-fbb36a8c3142.
dc.relation/*ref*/Echavarría, J. J. y Arbeláez, M. A. (2003). Tasa de cambio y crecimiento económico en Colombia durante la última década. (Borradores de Economía, 338). Banco de la República. https://www.banrep.gov.co/docum/ftp/borra338.pdf
dc.relation/*ref*/Égert, B. y Leonard, C. (2008). The Dutch disease in Kazakhstan: An empirical investigation. Focus on European Economic Integration, (2), 85-108.
dc.relation/*ref*/Forni, M., Hallin, M., Lippi, M. y Reichlin, L. (2005). The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting. Journal of the American Statistical Association, 100(471), 830-840. https://doi.org/10.1198/016214504000002050
dc.relation/*ref*/Frenkel, R. y Ros, J. (2006). Unemployment and the real exchange rate in Latin America. World Development, 34(4), 631-646. https://doi.org/10.1016/j.worlddev.2005.09.007
dc.relation/*ref*/Galindo, A., Izquierdo, A. y Montero, J. M. (2007). Real exchange rates, dollarization and industrial employment in Latin America. Emerging Markets Review, 8(4), 284–298. https://doi.org/10.1016/j.ememar.2006.11.002
dc.relation/*ref*/Geweke, J. (1976). The dynamic factor analysis of economic time series models. University of Wisconsin, 22(1), 37-54.
dc.relation/*ref*/González, S. y Hernández, E. (2016). Impactos indirectos de los precios del petróleo en el crecimiento económico colombiano. Lecturas de Economía, (84), 103-141. https://doi.org/10.17533/udea.le.n84a04
dc.relation/*ref*/Guzman, M., Ocampo, J. A. y Stiglitz, J. E. (2018). Real exchange rate policies for economic development. World Development, 110, 51-62. https://doi.org/10.1016/j.worlddev.2018.05.017
dc.relation/*ref*/Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363-398. https://doi.org/10.1016/S0304-4076(02)00207-5
dc.relation/*ref*/Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 52(7), 357-384. https://doi.org/10.2307/1912559
dc.relation/*ref*/Haltiwanger J., Kugler, A., Kugler, M., Micco, A. y Pagés, C. (2004). Effects of tariffs and real exchange rates on job reallocation: evidence from Latin America. The Journal of Policy Reform, 7(4), 191-208. https://doi.org/10.1080/1384128042000285183
dc.relation/*ref*/Hua, P. (2007). Real exchange rate and manufacturing employment in China. China Economic Review, 18(3), 335–353. https://doi.org/10.1016/j.chieco.2007.02.001
dc.relation/*ref*/International Monetary Fund (imf). (s. f.) World economic outlook databases. https://www.imf.org/en/Publications/SPROLLS/world-economic-outlook-databases#sort=%40imfdate%20descending
dc.relation/*ref*/Kilian, L. y Vigfusson, R. (2011). Are the responses of the u.s. economy asymmetric in energy price increases and decreases? Quantitative Economics, 2. https://doi.org/10.3982/QE99
dc.relation/*ref*/Kilian, L. (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99(3), 1053-69. https://doi.org/10.1257/aer.99.3.1053
dc.relation/*ref*/Lartey, E. (2008). Capital Inflows, Resource Reallocation and the Real Exchange Rate. International Finance, 11(2), 131-152. https://doi.org/10.1111/j.1468-2362.2008.01222.x
dc.relation/*ref*/Lee, K., Ni, S., Ratti, R.A., 1995. Oil Shocks and the Macroeconomy: The Role of Price Variability. Energy Journal, 16(4), 39-56. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol16-No4-2
dc.relation/*ref*/Leung, D. y Yuen, T. (2007). Labour Market Adjustments to Exchange Rate Fluctuations: Evidence from Canadian from Canadian Manufacturing Industries. Open Economies Review, 18(2), 177-189. https://doi.org/10.1007/s11079-007-9007-y
dc.relation/*ref*/Mendoza, O. y Vera, D. (2010). The Asymmetric Effects of Oil Shocks on an Oil-Exporting Economy. Cuadernos de Economía, 47(135), 3-13. https://doi.org/10.4067/S0717-68212010000100001
dc.relation/*ref*/Gov.co, (s. f.). Cifras, datos e indicadores. https://www.minhacienda.gov.co/webcenter/portal/Estadisticas
dc.relation/*ref*/Mork, K. A. (1989). Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results. Journal of Political Economy, 97(3), 740-744. https://doi.org/10.1086/261625
dc.relation/*ref*/Mork, K. A., Olsen, O. y Mysen, H. T. (1994). Macroeconomic Responses to Oil Price Increases and Decreases in Seven oecd Countries. The Energy Journal, 15(4). https://doi.org/10.5547/ISSN0195-6574-EJ-Vol15-No4-2
dc.relation/*ref*/Neary, P. (1988). Determinants of the equilibrium real exchange rate. American Economic Review, 78(1), 210-215. https://www.jstor.org/stable/1814708
dc.relation/*ref*/Ostry, J. D. (1988). The Balance of Trade, Terms of Trade, and Real Exchange Rate: An Intertemporal Optimizing Framework. imf Staff Papers, 35(4), 541-573. https://doi.org/10.2307/3867110
dc.relation/*ref*/Otero, J. (1997). Los determinantes de la tasa de cambio real en Colombia. Coyuntura Económica, 169-180. http://hdl.handle.net/11445/3267
dc.relation/*ref*/Oviedo-Gómez, A. y Candelo-Viafara, J. M. (2020). Mining and Energy Commodity Price Effects on Colombian Economy. Cuadernos de Administración, 36(67), 93-108. https://doi.org/10.25100/cdea.v36i67.8641
dc.relation/*ref*/Oviedo, A. F. y Sierra, L. P. (2019). La importancia de los términos de intercambio en la economía colombiana. Revista de la Cepal, (128), 125-154. https://doi.org/10.18356/73298cb5-es
dc.relation/*ref*/Peláez, J. T. y Sierra, L. P. (2016). Does Industrial Employment React to Movements in the Real Exchange Rate? An Empirical Analysis for Colombia, 2000-2010. Latin American Journal of Economics, 53(1), 36-39. http://dx.doi.org/10.7764/LAJE.53.1.39
dc.relation/*ref*/Perilla, J. R. (2010). El impacto de los precios del petróleo sobre el crecimiento económico en Colombia. Revista de Economía del Rosario, 13(1), 75-116.
dc.relation/*ref*/Phillips, P. C. y Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
dc.relation/*ref*/Pindyck, R. S. (1991). Irreversibility, Uncertainty, and Investment. Journal of Economic Literature, 29, 1110-1148. https://doi.org/10.3386/w3307
dc.relation/*ref*/Poncela, P., Senra, E. y Sierra, L. P. (2017). Long-term links between raw materials prices, real exchange rate and relative de-industrialization in a commodity-dependent economy: empirical evidence of “Dutch disease” in Colombia. Empirical Economics, 52(2), 777-798. https://doi.org/10.1007/s00181-016-1083-7
dc.relation/*ref*/Reinhart, C. M. (1995). Devaluation, Relative Prices and International Trade: Evidence from Developing Countries. Staff Papers (International Monetary Fund), 42(2), 290-312. https://doi.org/10.2307/3867574
dc.relation/*ref*/Revenga, A. (1992). Exporting Jobs? The Impact of Import Competition on Employment and Wages in U. S. Manufacturing. The Quarterly Journal of Economics, 107(1), 255–284. https://doi.org/10.2307/2118329
dc.relation/*ref*/Rhenals, R. y Saldarriaga, J. (2007). Tasa de cambio real y crecimiento económico en Colombia, 1995-2006: Una exploración inicial. Perfil de Coyuntura Económica, (9), 5-19.
dc.relation/*ref*/Sahin, A. y Cengiz, S. (2011). The real exchange rate and the employment market: Evidence for Turkey by panel cointegration analysis. African Journal of Business Management, 5(14), 5845–5854. https://doi.org/10.5897/AJBM10.1162
dc.relation/*ref*/Sierra, L. P. y Manrique, L. (2014). Impacto del tipo de cambio real en los sectores industriales de Colombia: una primera aproximación. Revista de la Cepal, 114, 127-142. https://doi.org/10.18356/4f500c15-es
dc.relation/*ref*/Sinnott, E., Nash, J. y De la Torre, A. (2011). Natural Resources in Latin America and the Caribbean: Beyond Booms and Busts? World Bank Latin American and Caribbean Studies. World Bank. https://doi.org/10.1596/978-0-8213-8482-4
dc.relation/*ref*/Stock, J. H. y Watson, M. W. (2011). Dynamic Factor Models. En M. P. Clements y D. F. Hendry. (Eds.), Oxford Handbook on Economic Forecasting (35-59). Oxford University Press. https://doi.org/10.1093/oxfordhb/9780195398649.013.0003
dc.relation/*ref*/Stock, J. H. y Watson, M. W. (2005). Implications of dynamic factor models for var analysis. National Bureau of Economic Research, 11467, 1-67.
dc.relation/*ref*/Stock, J. H. y Watson, M. W. (2002). Macroeconomic Forecasting Using Diffusion Indexes. Journal of Business & Economic Statistics, 20(2), 147-162. https://doi.org/10.1198/073500102317351921
dc.relation/*ref*/Svensson, L. E. O. (2000). Open-Economy Inflation Targeting. Journal of International Economics, 50(1), 155-83. https://doi.org/10.1016/S0022-1996(98)00078-6
dc.relation/*ref*/Vergara, S. (2005). Dinámica laboral de la industria en Chile. Revista de la Cepal, (86), 147-166. https://doi.org/10.18356/de1e3ce1-es
dc.rightsDerechos de autor 2021 Revista Facultad de Ciencias Económicas
dc.sourceRevista Facultad de Ciencias Económicas; Vol. 29 No. 2 (2021); 121-142
dc.sourceRevista Facultad de Ciencias Económicas; Vol. 29 Núm. 2 (2021); 121-142
dc.sourceRevista Facultad de Ciencias Económicas; v. 29 n. 2 (2021); 121-142
dc.source1909-7719
dc.source0121-6805
dc.subjectactual exchange rate
dc.subjectFAVAR
dc.subjecteconomic aggregates
dc.subjectColombian economy
dc.subjecttasa de cambio real
dc.subjectFAVAR
dc.subjectagregados económicos
dc.subjecteconomía colombiana
dc.subjecttaxa de câmbio real
dc.subjectFAVAR
dc.subjectagregados econômicos
dc.subjecteconomia colombiana
dc.titleThe Exchange Rate and its Impacts on Colombian Economic Aggregates: a FAVAR Approach
dc.titleLa tasa de cambio y sus impactos en los agregados económicos colombianos: una aproximación FAVAR
dc.titleA taxa de câmbio e seus impactos nos agregados econômicos colombianos: uma abordagem FAVAR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


Este ítem pertenece a la siguiente institución