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Modelación y co-movimientos de la tasa de cambio colombiana, 2011-2017 || Modeling and comovements of the Colombian exchange rate, 2011-2017

Author

Listed:
  • Maya Sierra, Giuliana

    (Departamento de Ingeniería Financiera. Universidad de Medellín (Colombia))

  • Marín Rodríguez, Nini Johana

    (Departamento de Economía. Universidad de Medellín (Colombia))

Abstract

La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre. El objetivo de esta investigación es la construcción de modelos ARIMA-GARCH y ARIMAX-GARCH como herramienta para el pronóstico de la tasa de cambio en Colombia a partir de los retornos diarios de los precios de cierre USD/COP y su análisis de correlación dinámica con algunas variables de interés. Los resultados sugieren que la incorporación de variables exógenas significativas dentro de la modelación ARIMAX-GARCH con correlación persistente según el modelo DCC (por sus siglas en inglés Dinamic Conditional Correlation) al par USD/COP genera pronósticos fuera de muestra con mejor desempeño que los modelos univariados ARIMA-GARCH. || The exchange rate is influenced by multiple national and international macroeconomic factors, which generates high levels of uncertainty. The objective of this research is the construction of ARIMA-GARCH and ARIMAX-GARCH models as a tool for the forecast of the exchange rate in Colombia from the daily returns of the closing prices USD/COP and its analysis of dynamic correlation with some of the most explicative variables. The results suggest that the incorporation of significant exogenous variables within the ARIMAX-GARCH model with persistent correlation according to the DCC (Dinamic Conditional Correlation) model to the USD/COP pair generates out-of-sample forecasts with better performance than the ARIMA-GARCH univariate models.

Suggested Citation

  • Maya Sierra, Giuliana & Marín Rodríguez, Nini Johana, 2019. "Modelación y co-movimientos de la tasa de cambio colombiana, 2011-2017 || Modeling and comovements of the Colombian exchange rate, 2011-2017," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 28(1), pages 301-341, December.
    • Handle: RePEc:pab:rmcpee:v:28:y:2019:i:1:p:301-341
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    More about this item

    Keywords

    variables macroeconómicas; modelos de pronóstico; tasa de cambio; correlación; Macroeconomic fundamentals; forecast models; exchange rate; correlation;
    All these keywords.

    JEL classification:

    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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