Purchasing power parity in the Colombian exchange rate
Barra lateral del artículo
Contenido principal del artículo
Resumen
Objetive: to determine the fulfillment of the purchasing power parity (PPP) theory in Colombia, the exchange rate with the US dollar using as a standard.
Methodology: to check if the PPP in Colombia is achieved, monthly and quarterly data was used, which ran from January 1959 to December 2015. To do this, the longterm behavior from the real exchange rate was modeled, contrasting the unit roots presence and structural changes. In addition, a bivariate cointegration model was used.
Results: it was found that, in the case of Colombia, the PPP theory was not fulfilled, since the peso and the dollar are not cointegrated. Therefore, according to the unitary root methodology, the PPP hypothesis in Colombia for the period 1959- 2015 is not validated. Everything seems to indicate that the Colombian peso has little relation with the US dollar.
Conclusions: the use of general price indices, which include tradable goods between countries, multiple barriers to international trade, imperfect competition and social, economic, political and cultural differences between both countries are important aspects when explaining the unfulfillment of the PPP
Cómo citar
Descargas
Métricas
Detalles del artículo
Cassel, G. (December, 1918). Abnormal Deviations in International Exchanges. Economic Journal, (28), 413-415.
Waiter, M. (1994). Empirical contributions of the Purchasing Power Parity. Journal of Applied Economics. vol.II. Jaume I University.
Dornbusch , R. (1976). Expectations and Exchange Rate Dynamics. Journal of Political Economy, 84 (6), 1161-176.
Engle, R. & Granger, W. J. (1987). Co-integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55 (2), 251-76.
Frenkel J. A. (1981). The Collapse of Purchasing Power Parities During the 1970's. European Economic Review, 16, 145-165.
Froot, K. and Rogoff , K. (1995). Perspectives on PPP and Long-Run Real Exchange Rates. NBER Working Papers, (4952), 1-57. National Bureau of Economic Research, Inc.
Hakkio C. S. (1984). A Re-Examination of Purchasing Power Parity. A multi-country and multi-period study .Journal of International Economics, vol. 17, 265-277.
Orchards, C., M. Khalil, S. Olarte and Romero, J. V. (2005). Some considerations on the credit channel and the transmission of interest rates in Colombia. Drafts of Economy No. 351, 1-38.
Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59 (6), 1551-1580.
Miller S. (1984). Purchasing Power Parity and Relative Price Variability. Evidence from the 1970's. European Economic Review, 26, 353-367.
Phillips, PCB & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335-346.
Samuelson, P. (1964). Theoretical Notes on Trade Problems. Review of Economics and Statistics, 46(2), 145-54.
Taylor, M. (2004). Is Official Exchange Rate Intervention Effective? Economica, 71(1), 1-12.
Thygessen, N. (1978). Inflation and Exchange Rates. Evidence and policy guidelines for the European Community.Journal of International Economics, 8, 301-317.
Trozano M. (1992). Long-Run Purchasing Power Parity and Mean-Reversion in Real Exchange Rates: a Further Assessment. International Economy, XLV, 77-100.
Trujillo, G. H. (2004). Zivot & Andrews Sequential Test. Recuperado de www.Gestiopolis.com.
Rogoff, K. (nineteen ninety six). The Purchasing Power Parity Puzzle. Journal of Economic Literature, XXXIV, 647-668.
Wiesner, E. (1978). Devaluation and Adjustment Mechanisms in Colombia. Banking and Finance Magazine, (179), 77-127.
Zivot, E. and Andrews, D. (1992). Further evidence on the great crash, the oil-price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, (10), 251-270.
Una vez aprobado el manuscrito el/los autores deben firmar el contrato de cesión de derechos patrimoniales sobre el artículo.
