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El impacto potencial de los movimientos de portafolio de los inversionistas extranjeros sobre la tasa de cambio en Colombia

Author

Listed:
  • Sara Ariza-Murillo
  • Fredy Gamboa-Estrada
  • Camilo Andrés Orozco-Vanegas

Abstract

Los movimientos de portafolio de los inversionistas extranjeros pueden afectar el mercado cambiario colombiano principalmente a través de la demanda por cobertura que realizan en el mercado de derivados cambiarios, y del cambio de dólares por pesos que se materializa al invertir en títulos de deuda pública (TES). Este artículo analiza el impacto potencial que pueden tener los movimientos de portafolio de estos inversionistas sobre la tasa de cambio de contado en Colombia. Utilizando modelos GARCH, los resultados evidencian que las variaciones de las posiciones de los inversionistas extranjeros en el mercado de non-delivery-forwards (NDF) y en el mercado de TES tienen un efecto estadísticamente significativo, pequeño y de corta duración sobre la tasa de cambio. Dicho efecto es mayor en el mercado de NDF. Adicionalmente, se evidencia una relación positiva y de muy corto plazo entre los retornos de la tasa de cambio y la variación de la posición neta de los inversionistas extranjeros (compras) en el mercado de NDF, mientras que dicha relación resulta negativa y más persistente para los flujos de inversión de los extranjeros en el mercado de TES. **** ABSTRACT: Foreign portfolio investments can affect the Colombian exchange market mainly through the demand for hedging that investors make in the foreign exchange derivatives market, and the exchange of dollars for pesos that materializes when investing in public debt securities (TES). This paper analyzes the potential impact that portfolio movements of foreign investors may have on the spot exchange rate in Colombia. Using GARCH models, the results evidence that changes in the positions of foreign investors in the non-delivery-forwards (NDF) market and in the TES market have a statistically significant, small and short-lived effect on the exchange rate. This effect is greater in the NDF market. Additionally, a positive and very short-term relationship is evident between the exchange rate returns and the variation in the net position of foreign investors (purchases) in the NDF market, while the relationship is negative and more persistent for investment flows of foreigners in the TES market.

Suggested Citation

  • Sara Ariza-Murillo & Fredy Gamboa-Estrada & Camilo Andrés Orozco-Vanegas, 2023. "El impacto potencial de los movimientos de portafolio de los inversionistas extranjeros sobre la tasa de cambio en Colombia," Borradores de Economia 1261, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1261
    DOI: 10.32468/be.1261
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    References listed on IDEAS

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    More about this item

    Keywords

    Tasas de cambio; inversionistas extranjeros; derivados; TES; modelos GARCH; Exchange rates; foreign investors; derivatives; TES; GARCH models;
    All these keywords.

    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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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