Desequilibrios nominales y reales del tipo de cambio en Colombia

Abstract

The nominal and real disequilibrium of the Colombian exchange rate (ER) are estimated by using two components: the permanent, associated with a stochastic trend (no stationary) and the transitory, linked with the cycle (stationary). The decomposition between the permanent and the transitory component is done by using the long-term relationships between nominal (real) ER and its fundamentals. The equilibrium level of the nominal (real) ER is obtained as the permanent component by common trend methodology, applied to both measures of the ER, nominal and real, and its fundamentals; meanwhile the transitory component is calculated as a residual, and is associated with the disequilibrium. The exercise is made for different information periods and different time frequencies (quarterly and annual). Different models were considered for the determination of both the nominal and real exchange rates.