Mercado interbancario colombiano y manejo de liquidez del Banco de la República

Ortiz, Pamela Andrea Cardozo; Campos, Carlos A. Huertas; Echeverri, Lina V. Patiño; Polanía, Julián Andrés Parra

doi:10.32468/be.673

Cited by 14 publications

(19 citation statements)

References 1 publication

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“…En Colombia, las entidades financieras utilizan varios mecanismos para captar o colocar recursos en el corto plazo, entre estos se destacan el Sistema Electrónico de Negociación SEN y el Mercado Electrónico Colombiano, MEC, en los que pueden hacer operaciones repo y simultáneas, y los fondos interbancarios no colateralizados. El volumen de transacciones en este último mercado es superior al del mercado de repos, lo que indica que es una fuente de recursos líquidos importante para las entidades (Cardozo et al 2012).…”

Section: Transacciones En El Mincunclassified

Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

Capera-Romero¹,

Lemus-Esquivel²,

Estrada³

2013

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Section: Transacciones En El Mincunclassified

Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

Capera-Romero¹,

Lemus-Esquivel²,

Estrada³

2013

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“…In Colombia, as in many other economies (we show below), policy mechanism acts through REPO auctions and lending and deposit facilities to implement monetary policy. Cardozo et al (2011) argue in favour of two advantages for having this system compared to a system with one or two explicit interest rates through which all liquidity is managed:…”

Section: Basic Points Billion Pesosmentioning

confidence: 99%

“…We are not the first in building on the framework proposed by Pérez and Rodriguez (2006) (PR, 2006, from now on): Cardozo, et al (2011) set a framework with the Colombian timing, but do not include sources of uncertainty, of which we have two. Perez and Rodriguez (2010) allow for an extra facility in which commercial banks clear their accounts between them and with the Central Bank.…”

Section: Modelmentioning

confidence: 99%

“…The complexity arises due to a variety of possible operations and counterparts. As explained by Cardozo, et al (2011), there are collateralized and uncollateralized trading that takes place in electronic negotiation systems or in OTC (Over-the-counter) markets. Furthermore, a wide range of institutions are able to trade in these markets (banks, bank-like institutions, stockbrokers, among others) and the Central Bank holds open market operations (OMO) at certain and known hours in a day.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Uncertainty in the Money Supply Mechanism and Interbank Markets in Colombia

González

Silva

Vargas

et al. 2014

Ensayos sobre Política Económica

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We set a dynamic stochastic model for the interbank daily market for funds in Colombia. The framework features exogenous reserve requirements and requirement period, competitive trading among heterogeneous commercial banks, daily open market operations he ld by the Central Bank (auctions and window facilities), and idiosyncratic demand shocks and uncertainty in the daily auction. Analytical derivations of their decision making process show that banks involvement in the interbank market and open market operations depend on their individual requirement constraint and daily liquid assets. Our results do not show a linkage between the uncertainty in the money supply mechanism and activity in the interbank market. Equilibrium interest rate for the interbank market is derived, and is shown that it is distorted by uncertainty at the daily auction held by the monetary authority. Using data for Colombia, we test the main results of the model and corroborate the Martingale hypothesis for the interbank interest rate. Incertidumbre en el mecanismo de oferta monetaria y mercados interbancarios en ColombiaR E S U M E N En este documento se plantea un modelo dinámico estocástico para el mercado interbancario diario en Colombia. La configuración del modelo incorpora bancos comerciales heterogéneos que interactúan en un entorno competitivo, operaciones de mercado abierto (OMA) diarias realizadas por el Banco Central (subastas y ventanillas), incertidumbre en la obtención de recursos en la subasta diaria, choques de demanda idiosincráticos y requerimientos de reserva definidos exógenamente. Las derivaciones analíticas acerca del proceso de toma de decisiones de los bancos muestran que la participación de cada entidad en el mercado interbancario y en las OMA dependen de su requerimiento de reserva y del nivel de sus activos líquidos diarios. En los resultados obtenidos no se evidencia algún vínculo entre la incertidumbre en el mecanismo de oferta monetaria y la actividad en el mercado interbancario. En particular, se encuentra la tasa de interés de equilibrio para el mercado, y se muestra que está distorsionada por la incertidumbre en la obtención de fondos en la subasta diaria. Finalmente, utilizando datos para Colombia, se prueban los principales resultados del modelo y se corrobora la hipótesis de Martingala para la tasa de interés interbancaria.

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“…Several authors have addressed the importance of the sovereign sell/buy backs for characterizing the local money market (e.g. Martínez and León, 2013;León, 2012;Cardozo et al, 2011). For instance, after excluding Central Bank's repos, sovereign securities sell/buy backs are the most important source of liquidity among financial institutions, with 2010, 2011 and 2012 daily average value of transactions around 83% of the total, whereas repos between financial institutions account for about 1%, and non-collateralized borrowing around 16%, respectively.…”

Section: Money Market Net Exposures Network Hub Centralitymentioning

confidence: 99%

Macro-prudential assessment of Colombian financial institutions' systemic importance

Rincon

Machado

Murcia

2013

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This document presents an enhanced and condensed version of preceding proposals for identifying systemically important financial institutions in Colombia. Three systemic importance metrics are implemented: (i) money market net exposures network hub centrality; (ii) large-value payment system network hub centrality; and (iii) an adjusted assets measure. Two complementary aggregation methods for those metrics are implemented: fuzzy logic and principal component analysis.The two resulting indexes concur in several features: (i) the ranking and remoteness of the top-two most systemically important financial institutions; (ii) the preeminence of credit institutions in the indexes; (iii) the appearance of a brokerage firm in the top-six; (iv) the skewed nature of the indexes, which match the skewed (i.e. inhomogeneous) nature of the three metrics and their approximate scale-free distribution.The indexes are non-redundant and provide a comprehensive relative assessment of each financial institution's systemic importance, in which the choice of metrics pursues the macro-prudential perspective of financial stability. The indexes may serve financial authorities as quantitative tools for focusing their attention and resources where the severity resulting from an institution failing or near-failing is estimated to be the greatest. They may also serve them for enhanced policy and decision-making.

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Mercado interbancario colombiano y manejo de liquidez del Banco de la República

Cited by 14 publications

References 1 publication

Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

Relaciones crediticias y riesgo de contagio en el mercado interbancario no colateralizado colombiano

Uncertainty in the Money Supply Mechanism and Interbank Markets in Colombia

Macro-prudential assessment of Colombian financial institutions' systemic importance

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