Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach

In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mea

Detalles Bibliográficos
Autores Principales: Julio-Román, Juan Manuel, Rodríguez-Niño, Norberto, Zárate-Solano, Hector Manuel
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2005
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5365
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spelling oai:RI-BanRep:20.500.12134-53652019-04-16T16:12:38Z Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach Julio-Román, Juan Manuel Rodríguez-Niño, Norberto Zárate-Solano, Hector Manuel C14 - Semiparametric and Nonparametric Methods: General F31 - Foreign Exchange C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes E58 - Central Banks and Their Policies E44 - Financial Markets and the Macroeconomy Volatility smile Exchange rate risk Nonparametric estimation Central bank intervention Tipos de cambio -- Intervención del estado -- Colombia -- 2004 Cambio exterior -- Intervención del estado -- Colombia -- 2004 Política monetaria -- Colombia -- 2004 F31 - Tipos de cambio C14 - Métodos semiparamétricos y no paramétricos: generalidades C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión E58 - Bancos centrales y sus políticas E44 - Mercados financieros y macroeconomía In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mea 2005-08-20 2005-08-20 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/5365 http://hdl.handle.net/20.500.12134/5365 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 347 https://ideas.repec.org/p/bdr/borrec/347.html https://ideas.repec.org/p/col/000094/002605.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. PDF application/pdf image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg Bogotá Banco de la República
institution Repositorio Institucional del Banco de la República de Colombia
collection DSpace
language Español (Spanish)
topic C14 - Semiparametric and Nonparametric Methods: General
F31 - Foreign Exchange
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
E58 - Central Banks and Their Policies
E44 - Financial Markets and the Macroeconomy
Volatility smile
Exchange rate risk
Nonparametric estimation
Central bank intervention
Tipos de cambio -- Intervención del estado -- Colombia -- 2004
Cambio exterior -- Intervención del estado -- Colombia -- 2004
Política monetaria -- Colombia -- 2004
F31 - Tipos de cambio
C14 - Métodos semiparamétricos y no paramétricos: generalidades
C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
E58 - Bancos centrales y sus políticas
E44 - Mercados financieros y macroeconomía
spellingShingle C14 - Semiparametric and Nonparametric Methods: General
F31 - Foreign Exchange
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
E58 - Central Banks and Their Policies
E44 - Financial Markets and the Macroeconomy
Volatility smile
Exchange rate risk
Nonparametric estimation
Central bank intervention
Tipos de cambio -- Intervención del estado -- Colombia -- 2004
Cambio exterior -- Intervención del estado -- Colombia -- 2004
Política monetaria -- Colombia -- 2004
F31 - Tipos de cambio
C14 - Métodos semiparamétricos y no paramétricos: generalidades
C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
E58 - Bancos centrales y sus políticas
E44 - Mercados financieros y macroeconomía
Julio-Román, Juan Manuel
Rodríguez-Niño, Norberto
Zárate-Solano, Hector Manuel
Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach
description In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mea
format Documento de trabajo (Working Paper)
author Julio-Román, Juan Manuel
Rodríguez-Niño, Norberto
Zárate-Solano, Hector Manuel
author_facet Julio-Román, Juan Manuel
Rodríguez-Niño, Norberto
Zárate-Solano, Hector Manuel
author_sort Julio-Román, Juan Manuel
title Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach
title_short Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach
title_full Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach
title_fullStr Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach
title_full_unstemmed Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach
title_sort estimating the cop exchange rate volatility smile and the market effect of central bank interventions: a charn approach
publisher Banco de la República
publishDate 2005
url http://repositorio.banrep.gov.co/handle/20.500.12134/5365
_version_ 1637305125753061376
score 12,131701