A Bayesian Change Point Analysis of the USD/CLP Series in Chile from 2018 to 2020: Understanding the Impact of Social Protests and the COVID-19 Pandemic

Rolando de la Cruz, Cristian Meza, Nicolás Narria, Claudio Fuentes

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Resumen

Exchange rates are determined by factors such as interest rates, political stability, confidence, the current account on balance of payments, government intervention, economic growth and relative inflation rates, among other variables. In October 2019, an increased climate of citizen discontent with current social policies resulted in a series of massive protests that ignited important political changes in Chile. This event along with the global COVID-19 pandemic were two major factors that affected the value of the US dollar and produced sudden changes in the typically stable USD/CLP (Chilean Peso) exchange rate. In this paper, we use a Bayesian approach to detect and locate change points in the currency exchange rate process in order to identify and relate these points with the important dates related to the events described above. The implemented method can successfully detect the onset of the social protests, the beginning of the COVID-19 pandemic in Chile and the economic reactivation in the US and Europe. In addition, we evaluate the performance of the proposed MCMC algorithms using a simulation study implemented in Python and R.

Idioma originalInglés
Número de artículo3380
PublicaciónMathematics
Volumen10
N.º18
DOI
EstadoPublicada - sept. 2022
Publicado de forma externa

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