Resumen

LOPERA CASTANO, Mauricio; MESA CALLEJAS, Ramón Javier; RESTREPO OCHOA, Sergio Iván  y  LONDONO HENAO, Charle Augusto. MODELANDO EL ESQUEMA DE INTERVENCIONES DEL TIPO DE CAMBIO PARA COLOMBIA.: UNA APLICACIÓN EMPÍRICA DE LA TÉCNICA DE REGRESIÓN DEL CUANTIL BAJO REDES NEURONALES. Cuad. Econ. [online]. 2013, vol.32, n.59, pp.305-335. ISSN 0121-4772.

This article evaluates the efficiency of Banco de la Republica's interventions using a coordination channel theoretical model. In this model, the effect of the dif ferential interest rate, an intervention variable derived using a Markov-switching model, and the actions of technical and fundamentalists investors on the quantiles of return of the exchange rate (TRM for its initials in Spanish) are evaluated. By using an impulse-response function it was found that the intervention variable has a high effect on the TRM returns in the fifth and twenty-fifth quantiles, but without obtaining a complete mean reversion on the fiftieth quantile

Palabras clave : exchange interventions; coordination channel model; Markov- switching model; quantile regression neural network.

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