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�ndice representativo del mercado de deuda p�blica interna: IDXTES

Author

Listed:
  • Alejandro Reveiz Herault
  • Carlos Eduardo Le�n Rinc�n

Abstract

Los mercados de t�tulos soberanos cumplen varias funciones para los mercados decapitales. Son fuente de financiaci�n para el gobierno que los emite, cumplen el rol deactivo libre de riesgo -de cr�dito- del mercado, al tiempo que sirven como referencia obenchmark para las diferentes alternativas de inversi�n del mercado. En el caso colombianoes claro que los T�tulos de Tesorer�a (TES) cumplen las dos primeras funciones, pero sereconoce que a�n es limitada su utilidad como benchmark del mercado local.La pr�ctica internacional demuestra que el desarrollo de �ndices representativos delmercado de deuda p�blica permite contar con un benchmark apropiado. Con tales �ndices seconsigue una serie de precios que sobrevive al vencimiento de los t�tulos, que permite hacercomparaciones en el largo plazo, y que permite capturar de mejor manera la din�mica delmercado.La pr�ctica sobre benchmarks en Colombia consiste en una simple comparaci�n con uno odos t�tulos en particular, los m�s l�quidos del mercado en un momento en el tiempo, lo cualrepresenta serias limitaciones t�cnicas y anal�ticas. As� mismo, existen �ndices cuyametodolog�a los hace poco aptos para cumplir funci�n de benchmark del mercado de deudap�blica local.Por lo tanto, basado en la pr�ctica internacional y con el fin de realizar un aporte inicial enel desarrollo de metodolog�as que permitan contar con un benchmark para el mercado local,este documento desarrolla y presenta el �ndice IDXTES.

Suggested Citation

  • Alejandro Reveiz Herault & Carlos Eduardo Le�n Rinc�n, 2008. "�ndice representativo del mercado de deuda p�blica interna: IDXTES," Borradores de Economia 4522, Banco de la Republica.
    • Handle: RePEc:col:000094:004522
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    Citations

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    Cited by:

    1. Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
    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. Luis Melo Velandia & Luis Fernando Melo Velandia, 2019. "Regresión cuantílica dinámica para la medición del valor en riesgo: Una aplicación a datos colombianos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(76), pages 23-50, January.
    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," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    5. Esteban Gómez & Juan Carlos Mendoza & Nancy Zamudio Gómez, 2012. "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. 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.

    More about this item

    Keywords

    �ndice de renta fija; benchmark; portafolio de referencia; TES.;
    All these keywords.

    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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