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Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana

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  • Diego Alejandro Martínez-Cruz

Abstract

Este documento describe la evolución de las condiciones de liquidez del mercado de deuda pública colombiano a través de una batería de herramientas que capturan diferentes aspectos de la liquidez. Adicionalmente, se propone un indicador que combina estas herramientas, incorporando un conjunto amplio de información relativa a la liquidez del mercado y que facilita su monitoreo y análisis. Los resultados indican una mejora sostenida en las condiciones de la liquidez de este mercado a lo largo del periodo analizado, y se destacan algunos escenarios en los cuales la liquidez se ha deteriorado y que coinciden con periodos de estrés del mercado financiero colombiano. **** ABSTRACT: This document describes the evolution of the liquidity conditions of the Colombian public debt market, using a set of tools that capture several liquidity characteristics or dimensions. An indicator is proposed, which combines all these tools incorporating a broad set of information related to market liquidity, and facilitates its oversight and analysis. The results of this work indicate a sustained improvement in the liquidity conditions of this market throughout the analyzed period, but identify some scenarios in which liquidity has deteriorated that coincide with periods of stress in the Colombian financial market.

Suggested Citation

  • Diego Alejandro Martínez-Cruz, 2021. "Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana," Borradores de Economia 1167, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:1167
    DOI: 10.32468/be.1167
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    More about this item

    Keywords

    liquidez de mercado; indicador combinado; análisis de componentes principales; deuda pública; TES; market liquidity; synthetic index; principal component analysis; sovereign local debt.;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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