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Desarrollo del mercado de derivados cambiarios en Chile

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Author Info
Luís Antonio Ahumada () (Banco Central de Chile)
Jorge Selaive C. () (Banco Central de Chile)

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Abstract

This article develops an international comparison, characterization and econometric evaluation about the development of Chilean FX derivatives market using a unique database of exchange rate operations performed by residents against domestic and international counterparts. The level of activity of the Chilean spot exchange rate market as well as its transaction costs are similar to those in more advanced economies, and a level of exchange rate derivative market above other emerging economies, yet at a significant distance from developed economies. Also, the article reports a growing number of foreign counterparts and a maturity of derivatives contracts slightly above the world average. From the cross country level regressions, it is worth mentioning the positive role of flexible exchange rate regimes as well as the negative effect of international reserve accumulation on the development of the exchange rate market. It is shown that the Chilean FX activity converges to the levels suggested by the estimation, according to the fundamentals of the economy. Nonetheless, it states at a significant distance from countries like Australia, New Zealand, and Canada.

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File URL: http://www.economia.uahurtado.cl/pdf/publicaciones/desarrollo_mercado_vol22_n1_2007.pdf
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Publisher Info
Article provided by Ilades-Georgetown University, Economics Department in its journal Revista de Analisis Economico.

Volume (Year): 22 (2007)
Issue (Month): 1 (June)
Pages: 35-58
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Handle: RePEc:ila:anaeco:v:22:y:2007:i:1:p:35-58

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Related research
Keywords: Derivatives Market;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Jonathan Kearns & Ricardo J. Caballero & Kevin Cowan, 2004. "Fear of Sudden Stops: lessons from Australia and Chile," Econometric Society 2004 Latin American Meetings 185, Econometric Society. [Downloadable!]
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  2. Fernandez, Viviana, 2003. "What determines market development?: Lessons from Latin American derivatives markets with an emphasis on Chile," Journal of Financial Intermediation, Elsevier, vol. 12(4), pages 390-421, October. [Downloadable!] (restricted)
  3. Levy-Yeyati, Eduardo & Sturzenegger, Federico, 2005. "Classifying exchange rate regimes: Deeds vs. words," European Economic Review, Elsevier, vol. 49(6), pages 1603-1635, August. [Downloadable!] (restricted)
  4. Esteban Jadresic & Jorge Selaive, 2005. "Is The FX Derivatives Market Effective and Efficient in Reducing Currency Risk?," Working Papers Central Bank of Chile 325, Central Bank of Chile. [Downloadable!]
  5. Matías Tapia & Andrea Tokman, 2004. "Effects of Foreign Exchange Intervention Under Public Information: the Chilean Case," Working Papers Central Bank of Chile 255, Central Bank of Chile. [Downloadable!]
  6. Cashin, Paul & Cespedes, Luis F. & Sahay, Ratna, 2004. "Commodity currencies and the real exchange rate," Journal of Development Economics, Elsevier, vol. 75(1), pages 239-268, October. [Downloadable!] (restricted)
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  7. Claudio Soto & Alberto Naudon & Eduardo López & Alvaro Aguirre, 2004. "Acerca del Nivel Adecuado de las Reservas Internacionales," Working Papers Central Bank of Chile 267, Central Bank of Chile. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Felipe Alarcón G. & Daniel Calvo C. & Pamela Jervis O., 2008. "Mercado de Cobertura Cambiaria y Tasa de Interés Local en Dólares," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 79-88, August. [Downloadable!]
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