Efectos de los auges y la crisis del petróleo en la economía colombiana: un enfoque autorregresivo vectorial variable en el tiempo

The aim of this paper is to estimates the impact of price and oil production shocks on macroeconomic variables such us public debt, real exchange rate and Colombian economic activity. This country depends to a large extent on oil exports, which could lead to different obstacles in the macroeconomic management when fluctuations in prices and oil production are recorded. The paper first describes the importance of oil in Colombia, which went from being a completely importing country in 1976 to an oil exporting economy in 1986. The empirical analysis uses a time-varying vector autoregressive methodology, which assumes that the relation between prices and oil production with macroeconomic variables changes dynamically. The results confirm that there are different stochastic volatility patterns of the variables included in the model. According to the impulse response functions, positive oil price shocks did not cause significant effects on the real exchange rate or on government debt. However, the negative price shock in 2015 led to a real depreciation and an increase in public debt.