Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach

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Borradores de Economía; No. 347
Date published
2005-08-20
Date of last update
2005-08-20
Author
Julio-Román, Juan Manuel
Rodríguez-Niño, Norberto
Zárate-Solano, Hector Manuel
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mea
JEL Codes
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processesE58 - Central Banks and Their PoliciesC14 - Semiparametric and Nonparametric Methods: GeneralF31 - Foreign ExchangeE44 - Financial Markets and the Macroeconomy
Keywords
Volatility smile ; Exchange rate risk ; Nonparametric estimation ; Central bank intervention ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5365
https://hdl.handle.net/20.500.12134/5365
https://doi.org/10.32468/be.347
https://ideas.repec.org/p/bdr/borrec/347.html
https://ideas.repec.org/p/col/000094/002605.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit