Caracterización del mercado de derivados cambiarios en Colombia
Caracterización del mercado de derivados cambiarios en Colombia
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En este documento se realiza una caracterización del mercado de derivados cambiarios colombiano. En primer lugar, se hace una comparación del tamaño de este mercado frente a países desarrollados y de América Latina. Posteriormente, se analiza su evolución en términos de montos negociados por instrumento y la participación de los distintos sectores económicos. Adicionalmente, se presenta un análisis de los instrumentos más utilizados y de los usos que los distintos tipos de agentes le dan a este mercado. Con respecto a este punto, se resalta la creciente importancia de los agentes extranjeros en el mercado de derivados sobre divisas en Colombia.
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Referencias (VER)
Adkins, L. C., Carter, D. A. y Simpson, W. G. (2007). Managerial Incentives and the Use of Foreign-Exchange Derivatives by Banks. Journal of Financial Research, 30(3), 399-413.
Álvarez, R. (2010). Un paseo por los derivados financieros. Trabajos de fin de grado y magíster, Universidad de León.
Avalos, F. y Moreno, R. (2013). Hedging in derivatives markets: the experience of Chile. BIS Quarterly Review, pp. 51-64.
Allayannis, G. y Ofek, E. (2001). Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives. Journal of International Money and Finance, 20(2), 273-296.
Allayannis, G. y Weston, J. (2001). The use of Foreign Currency Derivatives and Firm Market Value. Review of Financial Studies, 14, 243-276.
Baluch, A., y Ariff, M. (2007). Derivatives Markets and Economic Growth: Is There a Relationship? Bond University Working Paper Series, 13.
Bartram, S. M., Brown, G. W. y Conrad, J. (2011). The effects of derivatives on firm riskand value. Journal of Financial and Quantitative Analysis, 46(04), 967-999.
Becker, C. y Fabbro, D. (2006). Limiting Foreign Exchange Exposure through hedging: The Australian Experience. Reserve Bank of Australia, 2006-09.
Carrasco, J. A. (2008). Smile de volatilidad como criterio predictor de futuros movimientos del subyacente en opciones de moneda: revisión del caso chileno y japonés. Pontificia Universidad Católica de Chile.
Danthine, J. P. (1978). Information, Futures Prices, and Stabilizing Speculation. Journal of Economic Theory, 17(1), 79-98.
Diamond, D. W. y Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
Fleming, J., Ostdiek, B. y Whaley, R. E. (1996). Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets. Journal of Futures Markets,16(4), 353-387.
Folkerts-Landau, D. (1994). Derivatives: The New Frontier in Finance. En Frameworks for Monetary Stability: Policy Issues and Country Experiences, Washington D.C. S574-610.
Géczy, C., Minton, B. y Schrand, C. (1997). Why firms use currency derivatives. The Journal of Finance, 52, 1323-1354.
George, J. (2009). The Effect of the Derivatives Market on the Underlying Markets. University of Waikato.
Gerding, E. F. (2011). Credit Derivatives, Leverage, and Financial Regulation’s Missing Macroeconomic Dimension. Berkeley Business Law Journal, 8.
González, C. y Ochoa, I. (2007). Evaluación del mercado de opciones sobre tasas de cambio: perspectivas para una mejor utilización. Revista EIA, 7, 145-158.
Gupta, R. (2004). Derivatives markets and real economic activity. Doctoral dissertation, Victoria University of Technology.
Kamil, H., Maiguashca, A. F. y Pérez, D. (2008). How Do Firms Manage Currency Risk as Derivatives Markets Develop? New Micro Evidence for Colombia: 1998-2006. LACEA papers, 572.
Kavussanos, M. G., Visvikis, I. D. y Alexakis, P. D. (2008). The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market. European Financial Management, 14(5), 1007-1025.
Knop, R. (2013). Manual de Instrumentos Derivados - Cuatro décadas de Black-Scholes. Ediciones Empresa Global.
Merton, R. (1992). Financial Innovation and Economic Performance. Journal of Applied Corporate Finance, 4 (4), 12-22.
Sill, K. (1997). The Economic Benefits and Risks of Derivative Securities. Business Review, 15-26.
Sivakumar, A., y Sarkar, R. (2008). Corporate Hedging for Foreign Exchange Risk in India. 11th Annual Convention of the Strategic Management Forum, Indian Institute of Technology, Kanpur, May.
Tsetsekos, G. y Varangis, P. N. (1998). The Structure of Derivatives Exchanges: Lessons from Developed and Emerging Markets, (No. 1887). World Bank Publications.
Álvarez, R. (2010). Un paseo por los derivados financieros. Trabajos de fin de grado y magíster, Universidad de León.
Avalos, F. y Moreno, R. (2013). Hedging in derivatives markets: the experience of Chile. BIS Quarterly Review, pp. 51-64.
Allayannis, G. y Ofek, E. (2001). Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives. Journal of International Money and Finance, 20(2), 273-296.
Allayannis, G. y Weston, J. (2001). The use of Foreign Currency Derivatives and Firm Market Value. Review of Financial Studies, 14, 243-276.
Baluch, A., y Ariff, M. (2007). Derivatives Markets and Economic Growth: Is There a Relationship? Bond University Working Paper Series, 13.
Bartram, S. M., Brown, G. W. y Conrad, J. (2011). The effects of derivatives on firm riskand value. Journal of Financial and Quantitative Analysis, 46(04), 967-999.
Becker, C. y Fabbro, D. (2006). Limiting Foreign Exchange Exposure through hedging: The Australian Experience. Reserve Bank of Australia, 2006-09.
Carrasco, J. A. (2008). Smile de volatilidad como criterio predictor de futuros movimientos del subyacente en opciones de moneda: revisión del caso chileno y japonés. Pontificia Universidad Católica de Chile.
Danthine, J. P. (1978). Information, Futures Prices, and Stabilizing Speculation. Journal of Economic Theory, 17(1), 79-98.
Diamond, D. W. y Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
Fleming, J., Ostdiek, B. y Whaley, R. E. (1996). Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets. Journal of Futures Markets,16(4), 353-387.
Folkerts-Landau, D. (1994). Derivatives: The New Frontier in Finance. En Frameworks for Monetary Stability: Policy Issues and Country Experiences, Washington D.C. S574-610.
Géczy, C., Minton, B. y Schrand, C. (1997). Why firms use currency derivatives. The Journal of Finance, 52, 1323-1354.
George, J. (2009). The Effect of the Derivatives Market on the Underlying Markets. University of Waikato.
Gerding, E. F. (2011). Credit Derivatives, Leverage, and Financial Regulation’s Missing Macroeconomic Dimension. Berkeley Business Law Journal, 8.
González, C. y Ochoa, I. (2007). Evaluación del mercado de opciones sobre tasas de cambio: perspectivas para una mejor utilización. Revista EIA, 7, 145-158.
Gupta, R. (2004). Derivatives markets and real economic activity. Doctoral dissertation, Victoria University of Technology.
Kamil, H., Maiguashca, A. F. y Pérez, D. (2008). How Do Firms Manage Currency Risk as Derivatives Markets Develop? New Micro Evidence for Colombia: 1998-2006. LACEA papers, 572.
Kavussanos, M. G., Visvikis, I. D. y Alexakis, P. D. (2008). The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market. European Financial Management, 14(5), 1007-1025.
Knop, R. (2013). Manual de Instrumentos Derivados - Cuatro décadas de Black-Scholes. Ediciones Empresa Global.
Merton, R. (1992). Financial Innovation and Economic Performance. Journal of Applied Corporate Finance, 4 (4), 12-22.
Sill, K. (1997). The Economic Benefits and Risks of Derivative Securities. Business Review, 15-26.
Sivakumar, A., y Sarkar, R. (2008). Corporate Hedging for Foreign Exchange Risk in India. 11th Annual Convention of the Strategic Management Forum, Indian Institute of Technology, Kanpur, May.
Tsetsekos, G. y Varangis, P. N. (1998). The Structure of Derivatives Exchanges: Lessons from Developed and Emerging Markets, (No. 1887). World Bank Publications.