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

Author

Listed:
  • Sara Ariza-Murillo
  • Ittza Alejandra Barreto-Ramírez
  • Diego Alejandro Martínez-Cruz
  • Cristhian Hernando Ruiz-Cardozo

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.

Suggested Citation

  • Sara Ariza-Murillo & Ittza Alejandra Barreto-Ramírez & Diego Alejandro Martínez-Cruz & Cristhian Hernando Ruiz-Cardozo, 2022. "Caracterización del mercado de contado y forward peso-dólar en Colombia: un análisis de la microestructura del mercado durante el periodo 2013 a 2020," Borradores de Economia 1203, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1203
    DOI: 10.32468/be.1203
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    References listed on IDEAS

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    1. Pamela Cardozo & Fredy Gamboa-Estrada & Jesahel Higuera-Barajas, 2019. "El rol del sector real en el mercado de derivados y su impacto sobre la tasa de cambio," Borradores de Economia 1079, Banco de la Republica de Colombia.
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    More about this item

    Keywords

    Mercado de contado; Derivados; Intermediarios del mercado cambiario; Análisis de redes; Spot market; Derivatives; FX-Intermediaries; Network analysis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • C0 - Mathematical and Quantitative Methods - - General

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