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Examen de las compensaciones y precios de suscripción en el mercado de derivados cambiarios chileno

Author

Listed:
  • Carlos Echeverría O.
  • Claudio Pardo M.
  • Jorge Selaive C.

Abstract

Este trabajo entrega elementos para el entendimiento del funcionamiento del mercado cambiario chileno, haciendo uso de una base de datos única para el período enero 2007-junio 2008, e identifica múltiples características de las suscripciones de contratos forward de monedas. Se expone la evolución de las compensaciones asociadas a los contratos forward distinguiendo agentes y plazos. Asimismo, se examinan las transferencias monetarias asociadas a las compensaciones por diferencias entre los precios de suscripción y la paridad efectiva al momento de vencimiento de los contratos. En este aspecto, las compensaciones generadas por las suscripciones cambiarias fueron positivas para las Administradoras de Fondos de Pensiones (AFP) y negativas para el sector real. También, se comparan los precios de suscripción, tanto de compra como de venta, entregando luces respecto a eventuales discriminaciones de precios por parte de los market-makers. El examen evidencia que no es posible observar diferencias persistentes de discriminación de precios. Finalmente, se examinan los márgenes de intermediación de bancos locales y externos, así como la evolución que estos han experimentado en lo reciente. Para ambos grupos de bancos, estos márgenes se ubican en promedio en torno a los 10 puntos base (pb).

Suggested Citation

  • Carlos Echeverría O. & Claudio Pardo M. & Jorge Selaive C., 2009. "Examen de las compensaciones y precios de suscripción en el mercado de derivados cambiarios chileno," Economic Statistics Series 71, Central Bank of Chile.
    • Handle: RePEc:chb:bcchee:71
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    References listed on IDEAS

    as
    1. Mr. Jens Nystedt, 2004. "Derivative Market Competition: OTC Versus Organized Derivative Exchanges," IMF Working Papers 2004/061, International Monetary Fund.
    2. Luís Antonio Ahumada & Jorge Selaive C., 2007. "Desarrollo del mercado de derivados cambiarios en Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 22(1), pages 35-58, June.
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    Cited by:

    1. María Gabriela Acharán V. & Roberto Álvarez E. & José Miguel Villena M., 2010. "Crisis Financiera y Uso de Derivados Cambiarios en Empresas Exportadoras," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 105-114, December.

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