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Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado

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  • David Castañeda-Arévalo
  • Fredy Gamboa-Estrada

Abstract

En este documento se estudia la evolución de la liquidez del mercado cambiario de contado en Colombia y sus principales determinantes entre 2006 y 2020. Estimando indicadores de liquidez con información intradía del sistema electrónico de transacciones del mercado de divisas SET-FX, se analizan diferentes dimensiones de la liquidez, tales como los costos de transacción y la resiliencia. Igualmente, se estudian los principales determinantes de la liquidez del mercado cambiario considerando factores de demanda, de oferta y de condiciones de mercado. Los resultados del estudio de eventos indican que los costos asociados a las transacciones realizadas en el mercado cambiario fueron más altos durante la reciente crisis causada por la COVID-19, mientras que el impacto que tuvo el volumen transado sobre la tasa de cambio fue mayor durante la crisis financiera de 2008 y 2009. Los resultados empíricos evidencian que las condiciones monetarias locales, la volatilidad del peso colombiano, la volatilidad del mercado de TES, las restricciones de financiamiento externo, las condiciones financieras en Estados Unidos, y la percepción de riesgo a nivel mundial son los principales determinantes de la liquidez en el mercado cambiario colombiano. **** ABSTRACT: The objective of this paper is to study the evolution of liquidity in the spot foreign exchange market in Colombia and its main determinants from 2006 and 2020. First, we analyze different dimensions of liquidity such as transaction costs and resilience. We achieve our objective by measuring liquidity through different types of indicators using intraday data from the centralized interbank foreign exchange electronic market service. Second, we study the main determinants of liquidity considering supply-side, demand-side, and market conditions factors. The event study analysis evidence that transaction costs were higher during the recent crisis caused by the COVID-19, while the price impact of transactions in the FX market was higher during the 2008-2009 financial crisis. The empirical results highlight that local monetary conditions, Colombian peso volatility, the volatility of the Colombian debt market, foreign funding constraints, U.S. financial conditions and global risk perception are the main determinants of liquidity in the Colombian spot foreign exchange market.

Suggested Citation

  • David Castañeda-Arévalo & Fredy Gamboa-Estrada, 2021. "Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado," Borradores de Economia 1185, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1185
    DOI: 10.32468/be.1185
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    References listed on IDEAS

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    More about this item

    Keywords

    Colombia; mercado cambiario; liquidez; resiliencia; Colombia; foreign exchange market; liquidity; resilience;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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