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Efectos del rebalanceo de los índices de J.P. Morgan en 2014 sobre los rendimientos de los TES en moneda local

Author

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  • Sebastián García-Andrade

    (Banco de la República de Colombia)

Abstract

En marzo de 2014, J.P. Morgan anunció el aumento de la participación de Colombia en sus índices de deuda pública para mercados emergentes GBI-EM, lo cual tuvo efectos significativos sobre el mercado de deuda pública en moneda local. Este documento evalúa el efecto sobre los rendimientos de los TES a través de una estimación por diferencias en diferencias y aplicando el método de control sintético propuesto en Abadie y Gardeazabal (2003). Mediante ambas metodologías se encuentra que el rebalanceo habría disminuido de manera permanente los rendimientos de los TES con vencimiento a 10 años, con un efecto de entre 63 y 98 puntos básicos. Se argumenta que el ingreso de inversionistas extranjeros ocurrido después de la recomposición en los índices de deuda pública sería el principal mecanismo de transmisión detrás de la disminución en los rendimientos de esos activos. **** ABSTRACT: In March 2014, J.P. Morgan announced the increase of Colombia's weight in its public debt indexes for emerging markets GBI-EM, which had significant impact in the local-currency sovereign bond market. This document evaluates the effect that this increase had on the yields of the Colombian sovereign bonds denominated in Colombian pesos (TES), applying both a difference-in-difference estimation and the synthetic control method proposed in Abadie and Gardeazabal (2003). The results show that the rebalancing might have caused a permanent reduction of between 63 and 98 basis points in the 10-year TES yields. These results could be a consequence of the higher participation of foreign investors that occurred after the change in the public debt indices and this would be the main transmission mechanism behind the decrease in local bond yields.

Suggested Citation

  • Sebastián García-Andrade, 2019. "Efectos del rebalanceo de los índices de J.P. Morgan en 2014 sobre los rendimientos de los TES en moneda local," Borradores de Economia 1094, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1094
    DOI: https://doi.org/10.32468/be.1094
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    More about this item

    Keywords

    Bonos soberanos; ponderación en índices financieros internacionales; rendimientos de la deuda pública; Sovereign bonds; international financial indices weighting; public debt yields.;
    All these keywords.

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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