Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana

Diego Alejandro Martínez-Cruz

Borradores de Economia from Banco de la Republica de Colombia

Abstract: Este documento describe la evolución de las condiciones de liquidez del mercado de deuda pública colombiano a través de una batería de herramientas que capturan diferentes aspectos de la liquidez. Adicionalmente, se propone un indicador que combina estas herramientas, incorporando un conjunto amplio de información relativa a la liquidez del mercado y que facilita su monitoreo y análisis. Los resultados indican una mejora sostenida en las condiciones de la liquidez de este mercado a lo largo del periodo analizado, y se destacan algunos escenarios en los cuales la liquidez se ha deteriorado y que coinciden con periodos de estrés del mercado financiero colombiano. **** ABSTRACT: This document describes the evolution of the liquidity conditions of the Colombian public debt market, using a set of tools that capture several liquidity characteristics or dimensions. An indicator is proposed, which combines all these tools incorporating a broad set of information related to market liquidity, and facilitates its oversight and analysis. The results of this work indicate a sustained improvement in the liquidity conditions of this market throughout the analyzed period, but identify some scenarios in which liquidity has deteriorated that coincide with periods of stress in the Colombian financial market.

Keywords: liquidez de mercado; indicador combinado; análisis de componentes principales; deuda pública; TES; market liquidity; synthetic index; principal component analysis; sovereign local debt. (search for similar items in EconPapers)
JEL-codes: C43 E44 E65 H63 (search for similar items in EconPapers)
Pages: 29
Date: 2021-08
New Economics Papers: this item is included in nep-mac
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https://doi.org/10.32468/be.1167

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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:1167

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