Lecturas en finanzas - Evolution of the Colombian Peso within the currency bands, nonlinearity analysis and stochastic modeling
This paper studies the behavior of the Colombian Peso exchange rate against the US dollar for the period in which a currency band was prevailing (January 1994- Sept 1999). Two main parts compose this work. On the one hand, a descriptive analysis is presented in part 2, which encompasses monetary policy implementation, a description of the market structure and participants, as well as the evolution of the foreign exchange rate. On the other, as linear relationships fail to account for the evolution of the nominal exchange rate in terms of real sector supply and demand, as well as financial system´s foreign exchange positions, neural networks techniques are used in order to get some insight on the non-linearity of the time series, and a three-volatility-regime stochastic model with mean reversion is fitted to the data. Some statistical tests, including non-linearity tests, are performed in order to further examine the properties of the data. Section 6 concludes.
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Biblioteca Virtual Banco de la República
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