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The real exchange rate in Colombia: an analysis using multivariate cointegration

Jesús Otero

Open publisher page 9 citations

Abstract

Johansen's analysis of cointegrated systems is used to build a model of the Colombian real exchange rate (RER). One cointegrating vector is found, which can be thought of as a long-run RER equation. The deviations of the RER from its long-run equilibrium relationship, after correcting for short-run dynamics, are interpreted as a measure of RER misalignment. The simulation performance of the model during the period of estimation and three years into the future is particularly good, with the simulated RER reproducing the long-run behaviour of the actual series.

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What this paper is about

Johansen's analysis of cointegrated systems is used to build a model of the Colombian real exchange rate (RER). One cointegrating vector is found, which can be thought of as a long-run RER equation. The deviations of the RER from its long-run equilibrium relationship, after correcting for short-run dynamics, are interpreted as a measure of RER misalignment. The simulation performance of the model during the period of estimation and three years into the future is particularly good, with the simulated RER reproducing the long-run behaviour of the actual series.

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OpenAlex reports 9 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

Johansen's analysis of cointegrated systems is used to build a model of the Colombian real exchange rate (RER). One cointegrating vector is found, which can be thought of as a long-run RER equation. The deviations of the RER from its long-run equilibrium relationship, after correcting for short-run dynamics, are interpreted as a measure of RER misalignment. The simulation performance of the model during the period of estimation and three years into the future is particularly good, with the simulated RER reproducing the long-run behaviour of the actual series.

Key concepts: Cointegration, Econometrics, Exchange rate, Economics, Multivariate statistics, Series (stratigraphy), Measure (data warehouse), Error correction model

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