Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015

Juan Galvis; Claudio De Moraes; Juan Anzoátegui

doi:10.17533/udea.le.n87a03

Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015

Translated title of the contribution: Effects of monetary policy announcements on exchange rate volatility: An analysis for Colombia, 2008-2015

Juan Galvis
, Claudio De Moraes
, Juan Anzoátegui

Research output: Contribution to scientific journal › Review article › peer-review

3 Scopus citations

Abstract

This paper seeks evidence on the effects of central bank communication. To do this, the ability of financial markets to predict monetary policy decisions in Colombia is evaluated. Also, the effects of surprise decisions by the central bank of Colombia on exchange rate volatility are estimated. The results show that central bank communication decreases the volatility of the exchange rate. In addition, it is found that other variables such as external risk, the price of oil and external interest rates affect exchange rate volatility in Colombia.

Translated title of the contribution	Effects of monetary policy announcements on exchange rate volatility: An analysis for Colombia, 2008-2015
Original language	Spanish
Pages (from-to)	67-95
Number of pages	29
Journal	Lecturas de Economia
Issue number	87
DOIs	https://doi.org/10.17533/udea.le.n87a03
State	Published - 2017

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© 2017 Universidad de Antioquia. All rights reserved.

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title = "Efectos de los anuncios de pol{\'i}tica monetaria sobre la volatilidad de la tasa de cambio: un an{\'a}lisis para Colombia, 2008-2015",

abstract = "This paper seeks evidence on the effects of central bank communication. To do this, the ability of financial markets to predict monetary policy decisions in Colombia is evaluated. Also, the effects of surprise decisions by the central bank of Colombia on exchange rate volatility are estimated. The results show that central bank communication decreases the volatility of the exchange rate. In addition, it is found that other variables such as external risk, the price of oil and external interest rates affect exchange rate volatility in Colombia.",

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T2 - un análisis para Colombia, 2008-2015

AU - Galvis, Juan

AU - De Moraes, Claudio

AU - Anzoátegui, Juan

PY - 2017

Y1 - 2017

N2 - This paper seeks evidence on the effects of central bank communication. To do this, the ability of financial markets to predict monetary policy decisions in Colombia is evaluated. Also, the effects of surprise decisions by the central bank of Colombia on exchange rate volatility are estimated. The results show that central bank communication decreases the volatility of the exchange rate. In addition, it is found that other variables such as external risk, the price of oil and external interest rates affect exchange rate volatility in Colombia.

AB - This paper seeks evidence on the effects of central bank communication. To do this, the ability of financial markets to predict monetary policy decisions in Colombia is evaluated. Also, the effects of surprise decisions by the central bank of Colombia on exchange rate volatility are estimated. The results show that central bank communication decreases the volatility of the exchange rate. In addition, it is found that other variables such as external risk, the price of oil and external interest rates affect exchange rate volatility in Colombia.

KW - Central bank communication

KW - Exchange rate

KW - Monetary policy

UR - https://www.scopus.com/pages/publications/85071250727

U2 - 10.17533/udea.le.n87a03

DO - 10.17533/udea.le.n87a03

M3 - Artículo de revisión

AN - SCOPUS:85071250727

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JO - Lecturas de Economia

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IS - 87

ER -

Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015

Abstract

Bibliographical note

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