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Desarrollo del mercado de derivados cambiarios en Chile

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  • Luís Antonio Ahumada

    ()
    (Banco Central de Chile)

  • Jorge Selaive C.

    ()
    (Banco Central de Chile)

Abstract

This article develops an international comparison, characterization and econometric evaluation about the development of Chilean FX derivatives market using a unique database of exchange rate operations performed by residents against domestic and international counterparts. The level of activity of the Chilean spot exchange rate market as well as its transaction costs are similar to those in more advanced economies, and a level of exchange rate derivative market above other emerging economies, yet at a significant distance from developed economies. Also, the article reports a growing number of foreign counterparts and a maturity of derivatives contracts slightly above the world average. From the cross country level regressions, it is worth mentioning the positive role of flexible exchange rate regimes as well as the negative effect of international reserve accumulation on the development of the exchange rate market. It is shown that the Chilean FX activity converges to the levels suggested by the estimation, according to the fundamentals of the economy. Nonetheless, it states at a significant distance from countries like Australia, New Zealand, and Canada.

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Bibliographic Info

Article provided by Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines in its journal Revista de Analisis Economico.

Volume (Year): 22 (2007)
Issue (Month): 1 (June)
Pages: 35-58

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Handle: RePEc:ila:anaeco:v:22:y:2007:i:1:p:35-58

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Keywords: Derivatives Market;

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References

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  1. Ricardo Caballero & Kevin Cowan & Jonathan Kearns, 2005. "Fear of Sudden Stops: Lessons From Australia and Chile," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 8(4), pages 313-354.
  2. Levy-Yeyati, Eduardo & Sturzenegger, Federico, 2005. "Classifying exchange rate regimes: Deeds vs. words," European Economic Review, Elsevier, vol. 49(6), pages 1603-1635, August.
  3. Matías Tapia & Andrea Tokman, 2004. "Effects of Foreign Exchange Intervention Under Public Information: the Chilean Case," Working Papers Central Bank of Chile 255, Central Bank of Chile.
  4. Paul Cashin & Luis Felipe Céspedes & Ratna Sahay, 2003. "Commodity Currencies and the Real Exchange Rate," Working Papers Central Bank of Chile 236, Central Bank of Chile.
  5. Fernandez, Viviana, 2003. "What determines market development?: Lessons from Latin American derivatives markets with an emphasis on Chile," Journal of Financial Intermediation, Elsevier, vol. 12(4), pages 390-421, October.
  6. Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40 National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. María Gabriela Acharán V. & Roberto Álvarez E. & José Miguel Villena M., 2010. "Crisis Financiera y Uso de Derivados Cambiarios en Empresas Exportadoras," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 105-114, December.
  2. Paulina Rodríguez & José Miguel Villena, 2009. "El mercado cambiario chileno en el período 1998-2008," Economic Statistics Series 75, Central Bank of Chile.
  3. Jorge Selaive & Beatriz Velásquez & José Miguel Villena, 2008. "Extended Measures of Capital Transactions," Working Papers Central Bank of Chile 461, Central Bank of Chile.
  4. Carlos Echeverría O. & Claudio Pardo M. & Jorge Selaive C., 2009. "Examen de las compensaciones y precios de suscripción en el mercado de derivados cambiarios chileno," Economic Statistics Series 71, Central Bank of Chile.
  5. Felipe Alarcón G. & Daniel Calvo C. & Pamela Jervis O., 2008. "Mercado de Cobertura Cambiaria y Tasa de Interés Local en Dólares," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 79-88, August.
  6. Gabriel Aparici & Pablo Furche & Fernando Sepúlveda & Catherine Tornel, 2013. "Mercado de Derivados y su Infraestructura: Aspectos Relevantes de la Discusión Internacional y su Aplicación en Chile," Economic Policy Papers Central Bank of Chile 45, Central Bank of Chile.
  7. Luis A Opazo R, 2012. "Derivative market: the experience of Chile," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the workshop "Data requirements for monitoring derivative transactions", organised by the People's Bank of China and the Irving Fisher , volume 35, pages 12-19 Bank for International Settlements.

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