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Índice representativo del mercado de deuda pública interna: IDXTES

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  • Alejandro Reveiz Herault

    ()

  • Carlos Eduardo León Rincón

    ()

Abstract

Los mercados de títulos soberanos cumplen varias funciones para los mercados decapitales. Son fuente de financiación para el gobierno que los emite, cumplen el rol deactivo libre de riesgo -de crédito- del mercado, al tiempo que sirven como referencia obenchmark para las diferentes alternativas de inversión del mercado. En el caso colombianoes claro que los Títulos de Tesorería (TES) cumplen las dos primeras funciones, pero sereconoce que aún es limitada su utilidad como benchmark del mercado local.La práctica internacional demuestra que el desarrollo de índices representativos delmercado de deuda pública permite contar con un benchmark apropiado. Con tales índices seconsigue una serie de precios que sobrevive al vencimiento de los títulos, que permite hacercomparaciones en el largo plazo, y que permite capturar de mejor manera la dinámica delmercado.La práctica sobre benchmarks en Colombia consiste en una simple comparación con uno odos títulos en particular, los más líquidos del mercado en un momento en el tiempo, lo cualrepresenta serias limitaciones técnicas y analíticas. Así mismo, existen índices cuyametodología los hace poco aptos para cumplir función de benchmark del mercado de deudapública local.Por lo tanto, basado en la práctica internacional y con el fin de realizar un aporte inicial enel desarrollo de metodologías que permitan contar con un benchmark para el mercado local,este documento desarrolla y presenta el índice IDXTES.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004522.

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Length: 26
Date of creation: 17 Feb 2008
Date of revision:
Handle: RePEc:col:000094:004522

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Keywords: índice de renta fija; benchmark; portafolio de referencia; TES.;

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Cited by:
  1. Esteban Gómez & Juan Carlos Mendoza & Nancy Zamudio Gómez, . "CrashMetrics: An Application for Colombia," Temas de Estabilidad Financiera 069, Banco de la Republica de Colombia.
  2. Clara Lia Machado & Carlos León & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," BORRADORES DE ECONOMIA 007669, BANCO DE LA REPÚBLICA.
  3. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  4. Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
  5. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

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