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Impacto De Las Operaciones De Los Fondos De Pensiones Obligatorias En Los Mercados Financieros Colombianos

Author

Listed:
  • Carolina G�mez Restrepo
  • Diego Jara Pinz�n
  • Andr�s Murcia Pab�n

Abstract

El tama�o relativo de las transacciones de las Administradoras de Fondos de Pensiones (AFP) frente a los dem�s participantes del mercado cambiario ha sido objeto de preocupaci�n de acad�micos y ejecutores de pol�tica. Las AFP pueden transar grandes vol�menes, lo cual podr�a influenciar las decisiones de inversi�n de otros agentes, exacerbando presiones sobre los precios. Este documento estudia el impacto de las operaciones de los Fondos de Pensiones Obligatorias (FPO) sobre el tipo de cambio y el precio de los TES. Los resultados sugieren que los fondos de pensiones son bastante activos tanto en el mercado cambiario como en el de deuda p�blica interna; m�s a�n, se evidencia una fuerte actividad de trading de corto plazo por parte de algunos fondos en estos mercados. Sin embargo, no se evidencia que los movimientos de distintos fondos est�n positivamente correlacionados. Se concluye que sus operaciones tienen un grado de asociaci�n fuerte con el movimiento del tipo de cambio y de las tasas de los TES tasa fija de largo plazo.

Suggested Citation

  • Carolina G�mez Restrepo & Diego Jara Pinz�n & Andr�s Murcia Pab�n, 2006. "Impacto De Las Operaciones De Los Fondos De Pensiones Obligatorias En Los Mercados Financieros Colombianos," Borradores de Economia 2806, Banco de la Republica.
    • Handle: RePEc:col:000094:002806
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    References listed on IDEAS

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    1. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245, World Scientific Publishing Co. Pte. Ltd..
    2. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
    3. Hernando Vargas H. & Roc�o Betancourt, 2006. "Pension Fund Managers Behavior In The Foreign Exchange Market," Borradores de Economia 3317, Banco de la Republica.
    4. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
    5. repec:bla:jfinan:v:59:y:2004:i:2:p:869-898 is not listed on IDEAS
    6. Jeffrey A. Frankel & Giampaolo Galli & Alberto Giovannini, 1996. "The Microstructure of Foreign Exchange Markets," NBER Books, National Bureau of Economic Research, Inc, number fran96-1, September.
    7. Mr. Jorge Roldos, 2004. "Pension Reform, Investment Restrictions and Capital Markets," IMF Policy Discussion Papers 2004/004, International Monetary Fund.
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    Cited by:

    1. Alejandro Reveiz & Carlos Le�n & Freddy H. Castro & Gabriel Piraquive, 2009. "Modelo de simulaci�n del valor de la pensi�n de un trabajador en Colombia," Borradores de Economia 5387, Banco de la Republica.
    2. Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel piraquive, 2009. "Modelo de simulación del valor de la pensión de un trabajador en Colombia," Borradores de Economia 553, Banco de la Republica de Colombia.
    3. Hernando Vargas & Carlos Varela, 2008. "Capital flows and financial assets in Colombia: recent behaviour, consequences and challenges for the central bank," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial globalisation and emerging market capital flows, volume 44, pages 153-184, Bank for International Settlements.
    4. Mr. Benedict J. Clements & Herman Kamil, 2009. "Are Capital Controls Effective in the 21st Century? the Recent Experience of Colombia," IMF Working Papers 2009/030, International Monetary Fund.
    5. Andrés Murcia & Diego Rojas, 2014. "Determinantes de la tasa de cambio en Colombia: un enfoque de microestructura de mercados," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(74), pages 52-67, June.

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