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Índice representativo del mercado de deuda pública interna: IDXTES

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  • Alejandro Reveiz Herault

    ()

  • Carlos Eduardo León Rincón

    ()

Abstract

Los mercados de títulos soberanos cumplen varias funciones para los mercados decapitales. Son fuente de financiación para el gobierno que los emite, cumplen el rol deactivo libre de riesgo -de crédito- del mercado, al tiempo que sirven como referencia obenchmark para las diferentes alternativas de inversión del mercado. En el caso colombianoes claro que los Títulos de Tesorería (TES) cumplen las dos primeras funciones, pero sereconoce que aún es limitada su utilidad como benchmark del mercado local.La práctica internacional demuestra que el desarrollo de índices representativos delmercado de deuda pública permite contar con un benchmark apropiado. Con tales índices seconsigue una serie de precios que sobrevive al vencimiento de los títulos, que permite hacercomparaciones en el largo plazo, y que permite capturar de mejor manera la dinámica delmercado.La práctica sobre benchmarks en Colombia consiste en una simple comparación con uno odos títulos en particular, los más líquidos del mercado en un momento en el tiempo, lo cualrepresenta serias limitaciones técnicas y analíticas. Así mismo, existen índices cuyametodología los hace poco aptos para cumplir función de benchmark del mercado de deudapública local.Por lo tanto, basado en la práctica internacional y con el fin de realizar un aporte inicial enel desarrollo de metodologías que permitan contar con un benchmark para el mercado local,este documento desarrolla y presenta el índice IDXTES.

Suggested Citation

  • Alejandro Reveiz Herault & Carlos Eduardo León Rincón, 2008. "Índice representativo del mercado de deuda pública interna: IDXTES," BORRADORES DE ECONOMIA 004522, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:004522
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    Cited by:

    1. Maria Lucia Florez-Jimenez & Julian A. Parra-Polania, 2016. "Forward guidance with an escape clause: when half a promise is better than a full one," Applied Economics, Taylor & Francis Journals, vol. 48(15), pages 1372-1381, March.
    2. Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
    3. Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
    4. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, Junio.
    5. Esteban Gómez & Juan Carlos Mendoza & Nancy Zamudio Gómez, "undated". "CrashMetrics: An Application for Colombia," Temas de Estabilidad Financiera 069, Banco de la Republica de Colombia.
    6. Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364 Bank for International Settlements.
    7. Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364 Bank for International Settlements.
    8. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.
    9. Maria Lucia Florez-Jimenez & Julian A. Parra-Polania, 2016. "Forward guidance with an escape clause: when half a promise is better than a full one," Applied Economics, Taylor & Francis Journals, vol. 48(15), pages 1372-1381, March.

    More about this item

    Keywords

    índice de renta fija; benchmark; portafolio de referencia; TES.;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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