Efectos del rebalanceo de los índices de J.P. Morgan en 2014 sobre los rendimientos de los TES en moneda local

García-Andrade, Sebastián

doi:10.32468/be.1094

Cited by 4 publications

(2 citation statements)

References 27 publications

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“…For example, Peiris (2010) finds that for emerging markets a 10-percentage point increase in the share of foreign holdings leads to a 60 bps decrease in sovereign yields. In the same line, Garcia (2019) uses causal inference methods to conclude that Colombian sovereign bond yields in local currency decreased by up to 94 bps after the jump of foreign participation in the TES market brought about by the increased weight of the country in the J.P. Morgan GBI-EM.…”

Section: Effects Of Foreign Investors On Local Financial Conditionsmentioning

confidence: 99%

“…12 This result is confirmed with causal inference techniques that isolate the effect of the index rebalancing from other sources of changes in local yields. Based on both a difference-in-difference estimation and a synthetic control method, Garcia (2019) finds that the JP Morgan index rebalancing produced a permanent reduction of up to 94 bps in the TES 10-year yield.…”

Section: Effects Of Foreign Participation In the Tes Market On Domest...mentioning

confidence: 99%

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Effects of foreign participation in the colombian local public debt market on domestic financial conditions

Romero¹,

Vargas-Herrera²,

Cardozo³

et al. 2020

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Since 2014 the Colombian local public bond market experienced a substantial increase in the participation of foreign investors due to a reduction of the tax rates on foreign portfolio investment returns and the increase in the weight of Colombia in the JP Morgan GBI-GD. Some evidence is presented suggesting that the resulting inflows reduced bond and loan interest rates and raised loan supply. There is also evidence of an increased sensitivity of local public bond yields to CDS and EMBI, although the influence of external financial conditions on domestic lending rates has remained subdued. Finally, no evidence is found of a shift in the transmission of domestic monetary policy shocks to public bond and lending interest rates after the increase in foreign participation in the local bond market.

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Section: Effects Of Foreign Investors On Local Financial Conditionsmentioning

confidence: 99%

Section: Effects Of Foreign Participation In the Tes Market On Domest...mentioning

confidence: 99%

Effects of foreign participation in the colombian local public debt market on domestic financial conditions

Romero¹,

Vargas-Herrera²,

Cardozo³

et al. 2020

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Los Efectos de la Participación y Concentración de los Títulos de Deuda Pública en Colombia

Ocampo¹,

Orbegozo²,

Villamizar‐Villegas³

2020

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We evaluate the effects of the sovereign debt structure by examining various degrees of bond market participation and diversification within different bond maturities and investor type. We use a unique Colombian panel dataset, comprised of all government bond maturities in the hands of public and private institutions during 2006-2018. For identification, we propose an instrumental variable approach, specific to each investor group. We find that an increase in non-residents' market share of a 1 percentage point reduces bond yields by 35% and lowers volatility by 0.8%, relative to their mean values. Alternatively, we see an opposite effect for both pension funds and the banking sector. Finally, we find that market concentration makes local-currency yields more sensitive to global financial shocks.

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The Effects of Foreign Investor Composition on Colombia´s Sovereign Debt Flows

Gamboa‐Estrada¹,

Sánchez-Jabba²

2022

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Assessing the composition of sovereign debt holders is important because investors’ behavior varies according to distinctive components, including shareholders’ preferences, regulatory constraints, and profitability mandates. To study this issue, we examine the determinants of offshore investments of mutual funds and pension funds, which concentrate Colombia’s outstanding sovereign debt. Our results indicate that mutual funds exhibit considerable sensitivity to shocks in global factors, such as the Federal Funds Rate, sovereign risk, and the composition of financial indices. This contrasts with findings among pension funds, for which we detected no statistically significant effects when examining these factors, underlining the differences in foreign investor behavior that could impact sovereign debt flows within emerging markets.

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Efectos del rebalanceo de los índices de J.P. Morgan en 2014 sobre los rendimientos de los TES en moneda local

Cited by 4 publications

References 27 publications

Effects of foreign participation in the colombian local public debt market on domestic financial conditions

Effects of foreign participation in the colombian local public debt market on domestic financial conditions

Los Efectos de la Participación y Concentración de los Títulos de Deuda Pública en Colombia

The Effects of Foreign Investor Composition on Colombia´s Sovereign Debt Flows

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