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Print version ISSN 0124-8693
Abstract
MENESES RIVERA, Marcelo; TORO C., Jessica Stephany and RIASCOS, Julio César. BEHAVIOR OF OIL PRICE AND VOLATILITY IN EXCHANGE RATE: ANALYSIS OF IMPACT OF CHANGES IN WTI AND REFERENCE INTEREST RATE ON NOMINAL EXCHANGE RATE IN COLOMBIA, PERIOD 2013-2015. Tend. [online]. 2017, vol.18, n.1, pp.13-40. ISSN 0124-8693. https://doi.org/10.22267/rtend.171801.62.
The objective of this research is to relate the benchmark interest rate, the prices of oil prices and the nominal exchange rate; to determine to what extent each of these exogenous variables a"ect the exchange rate. The methodology used for this purpose is to wield the theory raised by Mauricio Cardenas (Introduction to the Colombian Economy, 2013) and the implementation of Mundell - Fleming. The analysis is done by implementing regression models using ordinary least squares, GARCH, EGARCH and VAR. The study warns that the exchange rate was a"ected by elements such as: the lowest price of WTI, the collapse of the major stock exchanges of the world, the decision of the US central bank to keep its benchmark interest rate and the devaluation of the Chinese currency Yuan. The study concludes that oil prices and the exchange rate are negatively related, so a devaluation in oil prices leads to a depreciation of the peso. Similarly, the reference interest rate is inversely related to the rate of change, allowing accept referrals of Mundell - Fleming.
Keywords : model Mundell - Fleming; models ordinary least squares (OLS); Generalized Autoregressive Conditional heteroskedasticity (GARCH); model Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH); models Vector Autoregressive (VAR).