Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market

Serie

• Borradores de economía

Resumen

• This work presents some evidence of the nonlinear and inverse relationship between the share prices on the Bogotá stock market and the interest rate as measured by the interbank loan interest rate, which is to some extent affected by monetary policy. The model captures the stylized fact on this market of high dependence of returns in short market in Colombia. Evidence of a non-constant equity premium is also found. The work uses daily data from January 1994 up to February 2000.

autores

• Arango Thomas, Luis Eduardo
• González-Gómez, Andrés
• Posada, Carlos Esteban

fecha de publicación

• 2001-01

Área temática

• C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
• C52 - Evaluación, contraste y selección de modelos

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Bogotá
• GARCH Models
• Interest Rate
• Nonlinearities
• Smooth Transition Regression
• Stock Returns

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.169

Issue

• 169