Resumo

URIBE, Jorge Mario  e  RESTREPO LOPEZ, Natalia. Exchange rate dynamics, structural breaks, and central bank interventions in Colombia. ecos.econ. [online]. 2015, vol.19, n.41, pp.24-44. ISSN 1657-4206.  https://doi.org/10.17230/ecos.2015.41.2.

We evaluate the effectiveness of the Colombian Central Bank´s interventions in the foreign exchange market during the period 2000 to 2014. We examine the stochastic process that describes the exchange rate, with a focus on the detection of structural breaks or unit roots in the data to determine whether the Central Bank´s interventions were effective. We find that the exchange rate can be described either by a random walk or by a trend-stationary model with multiple breaks. In neither cases do we find any evidence that the exchange rate was affected by the Central Bank interventions.

Palavras-chave : Colombia; exchange rate behavior; martingale; multiple breaks; random walk; structural breaks.

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