Resumen de Essays on international capital flows and benchmarked investors
Esta tesis doctoral es la unión de los resultados de tres artículos de investigación acerca de los flujos de capitales internacionales y su efecto en mercados financieros y la actividad económica. Hay un énfasis especial en el rol de los inversores que hacen benchmarking, especialmente en los primeros dos capítulos de esta tesis. En los últimos años un número grande de fondos de inversión internacional siguen famosos índices benchmarks de manera más pasiva para reducir costos, evaluar y disciplinar a los managers de los fondos, aumentar la transparencia, y promover vehículos de inversión mas simples (como fondos índices o ETFs). Debido a esto, los efectos de estos inversores que hacen benchmarking han ido incrementándose en importancia, y es necesario entender estos efectos y cuantificarlos. Esta tesis doctoral es un primer esfuerzo en esta dirección.
En el primer capítulo, co-autoreado con Claudio Raddatz y Sergio Schmukler, estudiamos los diferentes canales por los cuales famosos índices benchmarks impactan la asignación de activos, los flujos de capitales, los precios de los activos y el tipo de cambio a través de países, usando una base de datos original a nivel micro de la composición de índices benchmarks y las inversiones de fondos de inversión durante 1996-2014. Explotamos diferentes eventos para estudiar el impacto de índices benchmarks. Encontramos que los movimientos de benchmarks tienen efectos importantes en los portafolios de fondos de inversión de acciones y bonos, incluyendo tanto fondos activos como pasivos. Estos efectos persisten incluso después de controlar por factores que varían a nivel industria-tiempo, a nivel de país tiempo, y por fundamentales macroeconómicos. Cambios exógenos, pre-anunciados en benchmarks impactan la asignación de activos por parte de los fondos, los flujos de capitales y retornos anormales en el precio de los activos y tipo de cambio. Estos efectos ocurren no solo cuando los cambios en benchmarks son anunciados, sino también cuando se hacen efectivos.
En el segundo capítulo, utilizo un experimento natural para mostrar que el acceso del gobierno al crédito extranjero, incrementa el acceso al crédito del sector privado. Identifico un cambio exógeno y no anticipado en los flujos de capitales hacia el mercado de deuda soberana en Colombia. Esto fue por la inclusión de bonos Colombianos a un famoso índice benchmark construido por J.P. Morgan, que llevó a un incremento en la participación de extranjeros en el mercado de deuda soberana de 8.5 a 19 por ciento. Este evento tuvo efectos significativos y heterogéneos en los bancos comerciales en Colombia: bancos que actuaban como creadores de mercado en el mercado de bonos del tesoro redujeron sus tenencias de deuda soberana en 4.2 puntos porcentuales de sus activos e incrementaron el crédito comercial al sector privado en 3.9 puntos porcentuales de sus activos comparado con el resto de los bancos. Este incremento diferencial en el crédito es alrededor de 2 por ciento del PIB de Colombia. Evidencia a nivel de empresas e industrias sugieren que esto tuve efectos positivos para la economía real. Una mayor exposición a los creadores de mercado llevó a un mayor crecimiento de la deuda financiera, inversión, empleo, producción y ventas.
En el tercer capítulo, co-autoreado con Eduardo Levy Yeyati, argumentamos que la manera en que se mide la globalización financiera ha llevado a una mirada errónea de que la globalización financiera ha estado aumentado en mercados emergentes en los años recientes. Caracterizamos la evolución de la globalización financiera en mercados emergentes utilizando diferentes medidas, y encontramos que, en los 2000, la globalización financiera solo ha crecido marginalmente y la diversificación internacional de portafolio ha sido limitada. Después, revisamos la literatura empírica acerca de los efectos de la globalización financiera en la profundidad de los mercados domésticos, y la diversificación de riesgo internacional, proponiendo nuevas medidas de globalización financiera, que argumentamos, están en mejor posición para responder estas preguntas usualmente investigadas en la literatura. Encontramos que, mientras que la globalización financiera en mercados emergentes efectivamente mejora la profundidad de los mercados domésticos, no llega a tener un impacto significativo en la diversificación de portafolio para mostrar ganancias significativas en términos de suavizar el consumo.
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