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Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia

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  • Andrea Carolina Vargas-Páez
  • Carlos David Ardila-Dueñas

Abstract

Este documento estudió el impacto de la devaluación y la volatilidad de la tasa de cambio sobre la estructura a plazos de las tasas de interés en Colombia durante el periodo 2008 - 2020. Para este fin se utilizaron modelos de series de tiempo univariados y multivariados con umbrales (TVAR). Entre los resultados se observó un efecto no lineal de la devaluación y la volatilidad de la tasa de cambio sobre el nivel y la pendiente de la curva de rendimientos. El empinamiento generado por un choque de devaluación se duplica en escenarios de alta devaluación y volatilidad sin embargo para este último el impacto es de mayor tamaño y duración. A diferencia de los modelos lineales, encontramos a partir del TVAR que un mayor nivel de endeudamiento genera una desvalorización de los títulos de deuda, ajustando la curva de rendimientos al alza, en escenarios de alta incertidumbre de la tasa de cambio. Además, encontramos que, ante un choque de aversión al riesgo, los inversionistas valoran más niveles bajos de volatilidad que bajas devaluaciones del tipo de cambio. **** ABSTRACT: In this article, we study the impact of exchange rate depreciation and volatility on the sovereign yield curve during the 2008 - 2020 timeframe. We do this by estimating univariate and multivariate time series models and a threshold vector autoregressive model. Our findings support the presence of nonlinearities in the relationship between the exchange rate risk and the yield curve level and slope. The bearish steepening resulting from a depreciation shock is doubled when the depreciation and volatility are above the threshold, however when the volatility is high the impact is bigger and lasts longer. Contrary to lineal models, an increase of the level of the public debt has a significant impact on the yield curve level as sovereign bonds have been devalued during periods of high exchange rate volatility. Besides, our results suggest that in presence of a risk aversion shock, investors appreciate low volatility rather than low exchange rate depreciation.

Suggested Citation

  • Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021. "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia 1165, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1165
    DOI: 10.32468/be.1165
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    More about this item

    Keywords

    estructura a plazos de las tasas de interés; TVAR; riesgo de tasa de cambio; no-linealidad; term structure of interest rates; TVAR; exchange rate risk; nonlinearities;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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