Abstract

CANDELO-VIAFARA, Juan Manuel  and  OVIEDO-GOMEZ, Andrés. Currency volatility: an analysis of the Colombian exchange rate and energy commodity markets. Cuad. Econ. [online]. 2023, vol.42, n.89, pp.177-201.  Epub Feb 23, 2024. ISSN 0121-4772.  https://doi.org/10.15446/cuad.econ.v42n89.93707.

The study analyses the spillover effect of the prices of the energy commodities of oil, coal, and gas on the Colombian currency between the years 2000 and 2020. As a methodology, Autoregressive Vectors (VAR) with cointegrated variables and spillover analysis are used. The results suggest cointegration relations between energy commodities and the representative market rate and an inverse relation between these variables. Oil, coal, and gas explain the market representative rate volatility by up to 70, 45, and 50 %, respectively. The research allows inferring that the market's representative rate is a recipient of international market volatility.

Keywords : volatility; financial spillover; exchange rate; energy commodities.

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