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Impacto De Las Operaciones De Los Fondos De Pensiones Obligatorias En Los Mercados Financieros Colombianos


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  • Carolina Gómez Restrepo


  • Diego Jara Pinzón


  • Andrés Murcia Pabón



El tamaño relativo de las transacciones de las Administradoras de Fondos de Pensiones (AFP) frente a los demás participantes del mercado cambiario ha sido objeto de preocupación de académicos y ejecutores de política. Las AFP pueden transar grandes volúmenes, lo cual podría influenciar las decisiones de inversión de otros agentes, exacerbando presiones sobre los precios. Este documento estudia el impacto de las operaciones de los Fondos de Pensiones Obligatorias (FPO) sobre el tipo de cambio y el precio de los TES. Los resultados sugieren que los fondos de pensiones son bastante activos tanto en el mercado cambiario como en el de deuda pública interna; más aún, se evidencia una fuerte actividad de trading de corto plazo por parte de algunos fondos en estos mercados. Sin embargo, no se evidencia que los movimientos de distintos fondos estén positivamente correlacionados. Se concluye que sus operaciones tienen un grado de asociación fuerte con el movimiento del tipo de cambio y de las tasas de los TES tasa fija de largo plazo.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 406.

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Handle: RePEc:bdr:borrec:406

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Keywords: AFP; Agentes del Mercado; movimientos del tipo de cambio. Clasificación JEL: D40; D70; E39.;

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  1. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Working Papers, Netherlands Central Bank, Research Department 001, Netherlands Central Bank, Research Department.
  2. Jeffrey A. Frankel & Giampaolo Galli & Alberto Giovannini, 1996. "The Microstructure of Foreign Exchange Markets," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number fran96-1.
  3. Chiraphol N. Chiyachantana & Pankaj K. Jain & Christine Jiang & Robert A. Wood, 2004. "International Evidence on Institutional Trading Behavior and Price Impact," Journal of Finance, American Finance Association, American Finance Association, vol. 59(2), pages 869-898, 04.
  4. Jorge Roldos, 2004. "Pension Reform, Investment Restrictions and Capital Markets," IMF Policy Discussion Papers 04/4, International Monetary Fund.
  5. Martin D. D. Evans, 2001. "FX Trading and Exchange Rate Dynamics," NBER Working Papers 8116, National Bureau of Economic Research, Inc.
  6. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, Elsevier, vol. 61(2), pages 307-329, December.
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Cited by:
  1. Benedict J. Clements & Herman Kamil, 2009. "Are Capital Controls Effective in the 21st Century? the Recent Experience of Colombia," IMF Working Papers 09/30, International Monetary Fund.
  2. Hernando Vargas & Carlos Varela, 2008. "Capital flows and financial assets in Colombia: recent behaviour, consequences and challenges for the central bank," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Financial globalisation and emerging market capital flows, volume 44, pages 153-184 Bank for International Settlements.
  3. Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel piraquive, . "Modelo de simulación del valor de la pensión de un trabajador en Colombia," Borradores de Economia 553, Banco de la Republica de Colombia.


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