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Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia

Author

Listed:
  • Fredy Gamboa-Estrada

    (Banco de la República de Colombia)

Abstract

El carry trade de monedas es una estrategia de inversión ampliamente utilizada por especuladores en la cual el inversionista se endeuda en una divisa con baja tasa de interés (moneda de fondeo) e invierte ese dinero en una divisa con alta tasa de interés (moneda destino). El objetivo de este trabajo es evaluar si el carry-to-risk-ratio como medida de incentivos de carry trade es un indicador apropiado para identificar este tipo de estrategias de inversión en el mercado cambiario colombiano. Igualmente, se estudia si los diferenciales de tasas de interés entre Colombia y Estados Unidos observados en los últimos años pudieron generar movimientos bruscos en el tipo de cambio o lo que se denomina en la literatura currency crash risk. Usando el indicador carry-to-risk-ratio, se encuentra evidencia para Colombia que agentes no residentes podrían haber efectuado operaciones carry trade en 2007, 2008 y 2012. Mediante regresiones de variables instrumentales y modelos vectoriales autorregresivos (VAR) se encuentra evidencia de que altos diferenciales de tasas de interés están estrechamente relacionados con episodios de turbulencia cambiaria en Colombia.

Suggested Citation

  • Fredy Gamboa-Estrada, 2016. "Carry Trade y Depreciaciones Bruscas del Tipo de Cambio en Colombia," Borradores de Economia 957, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:957
    DOI: 10.32468/be.957
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    References listed on IDEAS

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    3. Juan Jose Echavarría & Diego Vásquez & Mauricio Villamizar, 2008. "Expectativas, Tasa de Interés y Tasa de Cambio. Paridad Cubierta y no Cubierta en Colombia 2000-2007," Borradores de Economia 4514, Banco de la Republica.
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    More about this item

    Keywords

    Carry trade; carry-to-risk ratio; turbulencias cambiarias;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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