عوامل تعیین کننده بر توسعه بازار کدام است؟ درس هایی از بازارهای مشتقات آمریکای لاتین با تاکید بر شیلی

There is considerable heterogeneity in the development of derivatives markets in different countries. The question is: why? This paper addresses this question in the context of major derivatives markets in Latin America. The largest derivatives exchanges in Latin America are located in Argentina, Brazil, and Mexico. In addition, over-the-counter (OTC) markets exist in Chile and Peru. Excluding Peru, Chile's derivatives market is to date the least developed. We show that this is due to regulatory constrains and illiquidity. Domestic transactions are OTC, and consist mostly of exchange rate forwards. Recent changes in the Central Bank of Chile's exchange rate policy have not had a considerable impact on the aggregate trading volume of forwards. However, amendments made to the Law of Capital Markets in 2001 bring the possibility of having a more developed derivatives market in the future.

Prior to the 1970s, currency and interest rates risk was not generally a concern around the world. It was not until the failure of Bretton Woods that the volatility of the US dollar against the Japanese yen rose dramatically. At the same time, the yields on US long-maturity bonds fluctuated considerably at the end of the 1970s and at the beginning of the 1980s. This highly volatile economic environment was sharpened by the 1973s oil crisis. These changes underlined the importance of corporate risk management, namely, the strategy of eliminating costly lower-tail outcomes that might cause financial distress or interfere with investment plans (Stulz, 1996). Specifically, between the mid-1970s and the mid-1980s, the derivatives market flourished. Forwards, futures, and options, began to be actively traded on and outside exchanges in most industrialized countries, with the Black and Scholes (1973) option pricing formula providing an important impetus to the development of these markets. Nowadays, notional amounts—a measure of market size—involved in derivative contracts are sizeable. Information gathered by the Bank for International Settlements (BIS) shows that the notional amount of outstanding positions reached US$99.7 trillion outside exchanges (OTC markets), and US$19.5 trillion on exchanges at the end of June 2001. Among OTC transactions, positions on interest rates contracts represented 76 percent of the notional amount outstanding, whereas those on foreign exchange and other contracts (equity, commodities, credit and other derivatives) amounted to 20.5 and 3.4 percent, respectively. Among exchange-traded derivatives, interest rate contracts also predominated, reaching 89.9 percent of the notional amount outstanding. Meanwhile, turnover—a measure of market activity—reached US$1342 billion in OTC markets and US$2209 billions on exchanges at the end of June 2001. Despite this impressive growth in derivatives markets around the world, considerable heterogeneity exists in the degree of development across different countries. For example, in Latin America, derivatives markets in Chile lag far behind those in Brazil and Argentina. What accounts for these differences? The analytical pricing machinery provided by Black and Scholes op cit, as well as the voluminous literature on contingent claims that has developed since,1 are available freely to all participants, so the answer probably lies in institutional and legal factors. Understanding these factors is important for the broader issue of the design and development of financial markets and institutions, i.e., financial system architecture.2 The purpose of this paper is to address this question within the context of derivatives markets in Chile, Argentina, Brazil and Mexico. Comparing these Latin American markets provides interesting insights into the impact of institutional and regulatory factors on the development of financial markets. In Latin America, the largest derivatives exchanges are located in Argentina (MATBA, ROFEX), Brazil (BM&F, BOVESPA), and Mexico (MexDer). In addition, OTC markets exist in Chile and Peru. On the Buenos Aires Futures Market (Mercado a Termino de Buenos Aires), MATBA, the largest market of derivatives in agricultural products in Latin America, futures and options on futures on wheat, soybean, sunflower seeds are traded. The Rosario Futures Markets (Mercado a Termino de Rosario), ROFEX, offers derivatives on agricultural products (futures and options on soybean, corn, wheat, among others), feeder cattle, and financial products, but it is much smaller in size than the MATBA. For instance, for 1993–2001 the volume in tons of agricultural contracts negotiated on ROFEX amounted to only 11.2 percent of that on the MATBA. The Brazilian Mercantile & Futures Exchange (BM&F) is the leading futures exchange in Latin America, and it is among the largest exchanges in the world. According to information gathered by the Futures Institute, in 1998 the volume traded (number of contracts) at the BM&F amounted to 8.4 and 7.6 percent of the total volume traded in and outside the United States, respectively. The BM&F offers a rich menu of derivative contracts, which includes futures and options on agricultural commodities (coffee, cotton, and wheat), the BOVESPA (São Paulo Stock Exchange) index, interest rates, foreign exchange rate, gold, among others. The BOVESPA also offers derivatives, but it is small relative to the BM&F. For example, the financial volume traded in 2000 on the BOVESPA only reached 2.7 percent of that on BM&F. The products available on the BOVESPA are options on one-day interbank deposits, the BOVESPA index, US dollar denominated Brazilian equity, among others. The Mexican market for derivatives (MexDer) began to operate in 1998, and the financial volume negotiated on the exchange has increased over time. However, it is still relatively small when compared with the Mexican Stock Exchange (Bolsa Mexicana de Valores). The products currently available on MexDer are futures on US dollars, the Mexican Stock Exchange Index (IPC), interbank and Mexican Treasury notes, three-year government bonds, and futures on individual stocks. Meanwhile, in Chile and Peru domestic transactions of derivatives essentially boil down to OTC exchange rate derivatives. According to information gathered by the BIS, the average daily turnover in OTC markets in April 2001 amounted to US$635 million and US$36 million in Chile and Peru, respectively. The contracts regularly traded in Chile are US$/Chilean peso and US$/Unidad de Fomento (UF) forwards. 3 These financial instruments, which were designed to hedge currency risk, were introduced in the domestic market in 1992 and 1994, respectively. They are primarily traded between financial institutions, and between financial institutions and large firms. Other types of derivatives, such as individual stock options and stock indices options, which were introduced on the Santiago Stock Exchange in 1990, have been barely traded. For example, futures contracts on the Price Index of Selective Stocks (IPSA), which includes the 40 most actively traded stocks on the Santiago Stock Exchange, were only traded between 1990 and 1994. Options on stocks, which were introduced in 1994, were traded only in 1994, 1995, and 1998. Besides the low frequency of transactions of these financial instruments, the trading volumes were also very small as compared with total trading on the Santiago Stock Exchange. Indeed, the share of futures averaged 0.022 percent in the period 1990–1994, whereas options had a share of almost zero percent in the same period. An explanation for such failure is that pension funds (AFP), the key investors of the Chilean financial market—their total assets reached 53.3 percent of GDP in 2000, are not allowed to enter into futures and options on stocks. However, there have been additional attempts to expand the type of contracts available domestically. In particular, interest rates derivatives and fixed-income assets derivatives were introduced in 1999 and 2000, respectively. To date, these instruments have been traded in OTC markets (typically, between commercial banks), and have taken the form of Forward Rate Agreements (FRAs) and swaps on interest rates denominated in local currency. Although, since 1999, the Central Bank of Chile allows stripping coupons of the long maturity bonds it issues domestically, the spot market of interest rates is probably not liquid enough to ensure transactions of these instruments on exchanges.4 On the other hand, in order to increase the liquidity of the domestic stock market, the Superintendence of Securities and Insurance (Superintendencia de Valores y Seguros) authorized stock short-selling in 1999. Unfortunately, this type of transaction was infrequent for two reasons. First, stock short-selling was not tax free until November 2001. Second, until today, AFP are not authorized to short stocks, even though they could be the main stocks lender. To illustrate, as of December 2001, stocks of private companies and financial institutions reached 10.61 percent of AFP total assets, that is to say, approximately US$3681.4 million. From the above discussion, Chile's derivatives market does not show significant growth potential. However, a package of amendments to the Law of Capital Markets, which was passed by the Chilean Congress in November 2001, might change this scenario. This consists of 15 reforms aimed at providing alternative funding to emerging companies, and to firms with growth potential, but no credit record; increasing the liquidity of the domestic capital market by enhancing the participation of new investors; offering a wider range of alternatives to investors, in terms of risk/return profiles; eliminating the remaining financial flows restrictions; and, finally, boosting long-term domestic savings. The specific questions raised by this discussion that are addressed in this paper are: What is the institutional framework of the Chilean derivatives market and how has it contributed to the relative lack of development of this market? What is the impact of recent changes in the Chilean Central Bank's exchange rate policy on the domestic market of exchange rate forwards? And, finally, how have the derivatives markets evolved in other Latin America countries, like Argentina, Brazil and Mexico? Our results show that stringent regulation has dampened the development of the Chilean financial market, which has lagged behind those in the main Latin American economies. As mentioned earlier, the domestic market for derivatives essentially consists of OTC exchange rate forwards. Contrary to what was expected, changes in Chilean exchange rate policy, introduced by the Central Bank of Chile in 1999, have not had a noticeable impact on the aggregate trading volume of exchange rate forwards. By contrast, both Argentina and Brazil have had exchange-traded derivatives for almost a century, while Mexico has experienced a fast development of its derivatives markets since the mid-1990s. What we pursue in this paper is sharply delineated from previous research. Previous studies have focused on the use of derivatives by both financial and non-financial firms in the United States (e.g., Cummins et al., 1997, Guay and Kothari, 2002 and Henstchel and Kothari, 2001), and have dealt with the benefits from using options on theoretical grounds (e.g., Neuberger and Hodges, 2002). None of these papers have addressed the development of Latin American derivatives markets. This paper is organized as follows. Section 2 presents an overview of the derivatives market activity in Latin America on and outside exchanges. Section 3 studies the evolution of currency forwards in Chile, and analyzes the impact of recent changes of the exchange rate polity on this market. Finally, Section 4 summarizes the main findings.

Derivatives began to be actively traded between the mid-1970s and the mid-1980s on and outside exchanges in most industrialized countries. According to information gathered by The Bank of International Settlements, at the end of April 2001 the value of OTC positions outstanding was over US$99 trillion, while the value of positions outstanding in organized exchanges was approximately US$20 trillion. In Latin America, the largest derivatives exchanges are located in Argentina (MATBA, ROFEX), Brazil (BM&F, BOVESPA), and Mexico (MexDer). In addition, OTC markets exist in Chile and Peru. The contracts regularly traded in Chile are US$/Chilean peso and US$/Unidad de Fomento (UF) forwards. Other types of derivatives, such as individual stock options and stock indices options have been barely traded. In the case of Chile, the causes appear to be low market liquidity and regulatory constraints faced by institutional investors. However, recent amendments to the Law of Capital Markets—which involve the creation of an exchange for emerging firms, and the existence of multi-fund AFPs, among others—might boost the derivatives market. Meanwhile, foreign exchange rate derivatives continue to be the most actively traded. In our analysis, we examined the effect of the elimination of the floating band of the US dollar against the Chilean peso in 1999 on forwards turnover. The figures showed us that, at least until December 2001, the exchange rate had not been significantly more volatile. And, therefore, the forwards market has not become noticeably more active. However, economic agents have now switched to shorter-maturity contracts as the exchange rate insurance provided by the floating band is no longer available. A subject for future research is to analyze the impact that the amendments made to the Chilean Law of Capital Markets might have on the domestic derivatives market. Until now, OTC markets for derivatives on foreign exchange and, more recently, on interest rates continue to be the only ones in existence. Exchange trading of derivatives has not resumed yet, and the big question is if it ever will.