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Flujos brutos de capital de portafolio de no residentes y residentes y el rol de la política monetaria

Author

Listed:
  • Luis Fernando Melo-Velandia
  • Hernán Rincón-Castro
  • Jorge Hernán Toro-Córdoba

Abstract

El objetivo del estudio es evaluar los principales determinantes de los flujos brutos de entradas y salidas de capital de portafolio de Colombia de los inversionistas no residentes y residentes y, en particular, estudiar el rol de la tasa de interés de política monetaria interna. El marco conceptual es el modelo estándar de portafolio aumentado con variables que miden factores de expulsión y atracción y medidas de sorpresas macroeconómicas. El modelo de regresión es una vector autorregresivo con variables exógenas o VAR-X y la información es de frecuencia mensual del periodo 2011 a 2020. Los resultados principales indican que la tasa de interés de política no resulta ser un determinante estadísticamente significativo de los flujos de portafolio de los inversionistas no residentes ni de los residentes con las estadísticas y durante el periodo analizados. Adicionalmente, las estimaciones evidencian diferencias importantes en las respuestas de los inversionistas no residentes y residentes ante otras perturbaciones macroeconómicas internas y externas. Finalmente se comprueba que existe hasta cierto grado una sustitución entre las salidas de capital de portafolio de los no residentes y las entradas de capital de los residentes. Esto significa que los movimientos de unos amortiguan los efectos cambiarios, de balanza de pagos y, probablemente financieros y macroeconómicos de los otros. **** ABSTRACT: The objective of the study is to evaluate the main determinants of the Colombian gross portfolio inflows and outflows from non-resident and resident investors and to study the role of the interest rate of the domestic monetary policy. The conceptual framework is the standard portfolio model augmented with variables that measure push and pull factors and macroeconomic surprises. The regression model is an autoregressive vector with exogenous variables or VAR-X and the information is of monthly frequency for the period 2011 to 2020. The main results indicate that the policy interest rate does not turn out to be a statistically significant determinant of gross portfolio flows from non-resident and resident investors with the statistics used and during the analyzed period. In addition, the estimates show important differences in the responses to other domestic and foreign macroeconomic shocks. Finally, there seems to be to some degree a substitution between portfolio capital outflows from nonresidents and capital inflows from residents. This means that the movements of some investors cushion the exchange rate, balance of payments, and probably financial and macroeconomic effects of the others.

Suggested Citation

  • Luis Fernando Melo-Velandia & Hernán Rincón-Castro & Jorge Hernán Toro-Córdoba, 2023. "Flujos brutos de capital de portafolio de no residentes y residentes y el rol de la política monetaria," Borradores de Economia 1224, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1224
    DOI: 10.32468/be.1224
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    References listed on IDEAS

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    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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