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Cuantificaci�n de la contribuci�n de las fuentes de liquidez en el Sistema de Pagos de Alto Valor en Colombia: una aproximaci�n preliminar

Author

Listed:
  • Joaqu�n Bernal R.
  • Freddy Cepeda L.
  • Fabio Ortega C

Abstract

En el presente trabajo se realiza un an�lisis de est�tica comparativa relacionado con la cuantificaci�n de la contribuci�n de las distintas fuentes de liquidez que utilizan las entidades financieras en Colombia para cumplir (liquidar) sus obligaciones en el sistema de pagos de alto valor operado por el Banco de la Rep�blica, al que se denomina sistema CUD. Con base en ello se eval�a tambi�n la incidencia de diversas pol�ticas adoptadas por el banco central para propender por la liquidaci�n m�s temprana de las operaciones y mitigar riesgos de liquidez en el sistema de pagos de alto valor. Para tales efectos, se consider� el comportamiento transaccional y de liquidez intrad�a de los participantes en el CUD correspondiente a dos periodos de marcadas diferencias tanto en la funcionalidad del sistema como en el entorno econ�mico (mayo de 2002 y mayo de 2010), agregando la informaci�n por grupos de agentes m�s activos como son los bancos, comisionistas de bolsa y sociedades fiduciarias. En la metodolog�a propuesta se asume que los participantes utilizan como fuente primaria su saldo en cuentas de dep�sito en el banco central (encaje) con el cual inician un d�a de operaciones, luego se calcula el valor efectivo de la liquidez provista por el Banco de la Rep�blica u obtenida en el mercado monetario y se toma como residuo la din�mica de los pagos entre los agentes (liquidez de los pagos entrantes). Este an�lisis permite hacer una aproximaci�n preliminar a la identificaci�n de las estrategias utilizadas por las entidades financieras respecto al uso de cada una de las fuentes alternativas de liquidez en el sistema de pagos y a identificar riesgos potenciales que se derivan de las mismas para cada tipo de participantes y sobre el sistema en su conjunto. Tambi�n provee elementos de juicio a las autoridades financieras para el dise�o de pol�ticas macroprudenciales que mitiguen el riesgo de liquidez y el riesgo sist�mico.

Suggested Citation

  • Joaqu�n Bernal R. & Freddy Cepeda L. & Fabio Ortega C, 2011. "Cuantificaci�n de la contribuci�n de las fuentes de liquidez en el Sistema de Pagos de Alto Valor en Colombia: una aproximaci�n preliminar," Borradores de Economia 9197, Banco de la Republica.
    • Handle: RePEc:col:000094:009197
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    References listed on IDEAS

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    1. Olivier Armantier & Jeffrey Arnold & James J. McAndrews, 2008. "Changes in the timing distribution of Fedwire funds transfers," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 83-112.
    2. Carlos Le�n & Clara Machado & Freddy cepeda & Miguel Sarmiento, 2011. "Too-connected-to-fail Institutions and Payments System�s Stability: Assessing Challenges for Financial Authorities," Borradores de Economia 8155, Banco de la Republica.
    3. Carlos León & Clara Machado & Freddy cepeda & Miguel Sarmiento, 2011. "Too-connected-to-fail Institutions and Payments System´s Stability: Assessing Challenges for Financial Authorities," Borradores de Economia 8155, Banco de la Republica.
    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. Bech, Morten L. & Garratt, Rod, 2003. "The intraday liquidity management game," Journal of Economic Theory, Elsevier, vol. 109(2), pages 198-219, April.
    6. James J. McAndrews & Samira Rajan, 2000. "The timing and funding of Fedwire funds transfers," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 17-32.
    7. Morten L. Bech, 2008. "Intraday liquidity management: a tale of games banks play," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 7-23.
    8. Christopher Becher & Marco Galbiati & Merxe Tudela, 2008. "The timing and funding of CHAPS sterling payments," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 113-133.
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    1. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(75), pages 1-22, December.
    2. Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 9441, Banco de la Republica.

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    More about this item

    Keywords

    Sistema de pagos de alto valor; sistemas de liquidaci�n bruta en tiempo real; fuentes de liquidez; e;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General

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