Juan Ciro, Claudio Oliveira de Moraes, Juan Camilo Gómez Zapata
{"title":"Effects of monetary policy announcements on exchange rate volatility: an analysis for Colombia, 2008-2015","authors":"Juan Ciro, Claudio Oliveira de Moraes, Juan Camilo Gómez Zapata","doi":"10.17533/UDEA.LE.N87A03","DOIUrl":null,"url":null,"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.","PeriodicalId":52205,"journal":{"name":"Lecturas de Economia","volume":"1 1","pages":"67-95"},"PeriodicalIF":0.3000,"publicationDate":"2017-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Lecturas de Economia","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17533/UDEA.LE.N87A03","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1
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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