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El rol del sector real en el mercado de derivados y su impacto sobre la tasa de cambio


  • Pamela Cardozo

    () (Banco de la República de Colombia)

  • Fredy Gamboa-Estrada

    () (Banco de la República de Colombia)

  • Jesahel Higuera-Barajas

    () (Universidad Javeriana)


Aunque las negociaciones de los intermediarios del mercado cambiario (IMC) con el sector real en el mercado de forwards peso-dólar son bajas en comparación con las operaciones transadas con agentes offshore, es importante entender el comportamiento de dicho sector y su impacto en el mercado cambiario. En este trabajo se evalúa si el sector real ha tenido un impacto en la tasa de cambio, analizando la evolución diaria de su posición neta en el mercado de forwards peso-dólar. De acuerdo con la evolución de los montos negociados en el mercado de forwards por parte de los IMC con diferentes contrapartes, se observa que el sector real en algunas ocasiones ha tomado posiciones que parecen ir en sentido contrario a las operaciones negociadas por los agentes offshore, las cuales podrían tener un efecto estabilizador en la tasa de cambio. Mediante modelos EGARCH y VARX-MGARCH se encuentra evidencia de que las posiciones que toma el sector real tienen un impacto sobre la tasa de cambio. Sin embargo, ese efecto no ha sido estable entre 2008 y 2015, y se ha reducido en el tiempo. Igualmente, las posiciones del sector real en el mercado forward no tienen un efecto estabilizador sobre el tipo de cambio pues ante compras netas del offshore en dicho mercado no se encuentra evidencia que el sector real tome una posición vendedora neta. **** ABSTRACT: Although transactions of foreign exchange market intermediaries with the real sector in the peso-dollar market are low in comparison to the ones with offshore agents, it is important to understand the behavior of the real sector and its impact on the exchange market. This paper assesses whether the real sector has an impact on the spot exchange rate by analyzing the daily evolution of its net position in the peso-dollar forward market. According to the amounts negotiated in this market segment, it is observed that the real sector has sometimes taken positions that go in the opposite direction to the operations negotiated by offshore agents. This behavior could have a stabilizing effect on the exchange rate. Through EGARCH and VARX-MGARCH models, there is evidence that the positions taken by the real sector have an impact on the spot exchange rate. However, this effect has not been stable between 2008 and 2015, and has been reduced over time. Likewise, the positions of the real sector in the forward market do not have a stabilizing effect on the exchange rate, since against net purchases of the offshore market there is no evidence that the real sector takes a net selling position.

Suggested Citation

  • 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.
  • Handle: RePEc:bdr:borrec:1079

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    References listed on IDEAS

    1. Viviana Alejandra Alfonso Corredor, 2018. "El uso de forwards peso dólar en las empresas colombianas del sector real," Borradores de Economia 1058, Banco de la Republica de Colombia.
    2. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    3. Nathali Cardozo Alvarado & Juan Sebastián Rassa Robayo & Juan Sebastián Rojas Moreno, 2014. "Caracterización del Mercado de Derivados Cambiarios en Colombia," BORRADORES DE ECONOMIA 012387, BANCO DE LA REPÚBLICA.
    4. Thomas Klitgaard & Laura Weir, 2004. "Exchange rate changes and net positions of speculators in the futures market," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 17-28.
    5. Nathali Cardozo Alvarado & Juan Sebastián Rassa Robayo & Juan Sebastián Rojas Moreno, 2014. "Caracterización del Mercado de Derivados Cambiarios en Colombia," Borradores de Economia 860, Banco de la Republica de Colombia.
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    More about this item


    Sector real; mercado de derivados; tasa de cambio; real sector; derivatives market; exchange rate;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G2 - Financial Economics - - Financial Institutions and Services
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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