Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market
AbstractThis work presents some evidence of the nonlinear and inverse relationschip 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 stylised fact on this market of higt 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.
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Bibliographic InfoPaper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 169.
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nonlinearities; stock returns; interest rate; smooth transition regression; GARCH models.;
Other versions of this item:
- Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001. "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," BORRADORES DE ECONOMIA 003468, BANCO DE LA REPÚBLICA.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-02 (All new papers)
- NEP-FIN-2003-04-02 (Finance)
- NEP-FMK-2003-04-02 (Financial Markets)
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