PENSION FUND MANAGERS BEHAVIOR IN THE FOREIGN EXCHANGE MARKET

Hernando Vargas-Herrera and Rocío Betnacourt (rbetanga@banrep.gov.co)

Borradores de Economia from Banco de la Republica de Colombia

Abstract: The effects of the Pension Fund Managers (PFMs) behavior on the foreign exchange market may be important, given the increasing size of their portfolio and their possible market power. Some authors argue that when big investors like PFMs trade large volumes in the foreign exchange market, they may influence other agents’ decisions, increasing the impact of the PFMs’ actions on the exchange rate. However, when PFMs have market power, they will take into account their influence on the exchange rate and will moderate their trading volume. Hence, there might be a mitigating effect that reduces the pressure on the exchange rate. This paper seeks to demonstrate the existence of this effect under different theoretical foreign exchange market structures.

Keywords: pension funds; foreign exchange market; market power. (search for similar items in EconPapers)
JEL-codes: D43 F31 G23 (search for similar items in EconPapers)
Date: 2006-04
New Economics Papers: this item is included in nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.32468/be.391 (application/pdf)

Related works:
Working Paper: PENSION FUND MANAGERS BEHAVIOR IN THE FOREIGN EXCHANGE MARKET (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:391

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica de Colombia Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera (cbahosol@banrep.gov.co).