Caracterización del mercado de contado y forward peso-dólar en Colombia: un análisis de la microestructura del mercado durante el periodo 2013 a 2020

Sara Ariza-Murillo, Ittza Alejandra Barreto-Ramírez, Diego Alejandro Martínez-Cruz and Cristhian Hernando Ruiz-Cardozo

Borradores de Economia from Banco de la Republica de Colombia

Abstract: En este estudio se realiza una caracterización de la microestructura del mercado cambiario de contado y forward peso-dólar en Colombia, con el objetivo de estudiar las principales dinámicas y las interacciones de todos los sectores participantes en esos mercados. Adicionalmente se busca identificar los clústeres económicos presentes en cada uno de los mercados, a través de un análisis de redes ponderadas y dirigidas durante el periodo 2013-2020. Por otra parte, se realiza un análisis descriptivo de los mercados analizados y se identifican características específicas de los montos y precios negociados por cada sector económico y, por ejemplo, se encuentra que el aumento de las negociaciones en el mercado next dayy forwarddurante el periodo analizado estuvo soportado por factores como mayor inversión extranjera, el crecimiento de las inversiones en el exterior por parte de los fondos de pensiones y cesantías y una mayor disposición de los agentes a realizar coberturas frente al riesgo cambiario. En elanálisis de redes se identifican clústeres en cada uno de los mercados, los cuales se caracterizan por tener un Intermediario del Mercado Cambiario que se especializa en ciertos sectores. **** ABSTRACT: This study characterizes the microstructure of the spot and forward peso-dollar exchange markets in Colombia, with the objective of studying the main dynamics and interactions of all the sectors which are participating in these markets. Additionally, it seeks to identify the economic clusters present in each of the markets, through an analysis of weighted and directed networks during 2013-2020. On the other hand, a descriptive analysis of the markets analyzed is carried out and specific characteristics of the amounts and prices negotiated by each economic sector are identified, for example, it is found that the increase in negotiations in the next day and forward market during the period analyzed was supported by factors such as greater foreign investment, the growth of investments abroad by pension funds and a greater willingness of agents to hedge against foreign exchange risks. Regarding of network analysis, clusters are identified in each of the markets, which are characterized by having an FX-Intermediaries that specializes in certain sectors.

Keywords: Mercado de contado; Derivados; Intermediarios del mercado cambiario; Análisis de redes; Spot market; Derivatives; FX-Intermediaries; Network analysis (search for similar items in EconPapers)
JEL-codes: C0 G1 G2 (search for similar items in EconPapers)
Pages: 24
Date: 2022-06
New Economics Papers: this item is included in nep-dem
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.32468/be.1203

Related works:
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:1203

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 ().