La volatilidad de la moneda: un análisis de la tasa de cambio colombiana y los mercados de materias primas energéticas
Currency volatility: an analysis of the Colombian exchange rate and energy commodity markets
DOI:
https://doi.org/10.15446/cuad.econ.v42n89.93707Palabras clave:
volatilidad, derrame financiero, tasa de cambio, materias primas energéticas (es)volatility, financial spillover, exchange rate, energy commodities (en)
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El artículo analiza el efecto derrame de los precios de las materias primas energéticas del petróleo, carbón y gas, sobre la moneda colombiana en el periodo 2000-2020. Como metodología, se utilizaron los vectores autorregresivos (VAR), con variables cointegradas y el análisis de desbordamiento de derrames. Los resultados sugieren la existencia de relaciones de cointegración entre las materias primas energéticas y la tasa representativa del mercado; además de una relación inversa entre estas variables. El petróleo, el carbón y el gas explican la volatilidad de la tasa representativa del mercado hasta en 70, 45 y 50 % respectivamente. La investigación permite inferir que la tasa representativa del mercado es receptora de volatilidad de los mercadas internacionales.
The study analyzes the spillover effect of the prices of the energy commodities of oil, coal, and gas on the Colombian currency between the years 2000 and 2020. As a methodology, Autoregressive Vectors (VAR) with cointegrated variables and spillover analysis are used. The results suggest cointegration relations between energy commodities and the representative market rate and an inverse relation between these variables. Oil, coal, and gas explain the market representative rate volatility by up to 70, 45, and 50 %, respectively. The research allows inferring that the market’s representative rate is a receiver of international markets’ volatility.
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