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La política monetaria y su impacto sobre los retornos reales del mercado bursátil chileno
[Monetary Policy and its impact over the Chilean stock market's real returns]

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Author Info

  • Muñoz, Jorge
  • Recabal, Claudio
  • Acuña, Andrés

Abstract

In this article we examined and tested the effects of monetary policy driven by Central Bank of Chile over the Chilean stock market’s real returns for monthly data which spans between I.1996 and XII.2006. Based on a theoretical background, we analyzed the monetary policy from the monetarist and Keynesian points of view, their schemes and economics results. Once we analyzed the stock market in detail, from a sectorial perspective, we applied a GARCH (1, 1) model as a framework, in order to measure the impact that monetary policy has over the Chilean stock market’s real returns under an inflation targeting scheme. The results show a good adherence for real returns modeling in several economic sectors. However, it seems that the degree of adjustment is notoriously altered at those sectors that show a greater volatility. However, we are able to estimate the time that takes to the monetary policy decision to impact stock market’s real returns for each economic activity (Services, Commerce, Manufacturing, Mining, Real State).

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14392.

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Date of creation: Sep 2007
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Handle: RePEc:pra:mprapa:14392

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Related research

Keywords: política monetaria; inflación; mercado accionario; retorno de activos; GARCH;

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References

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  1. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
  2. Vittorio Corbo, 2002. "Monetary Policy in Latin America in the 90s," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 6, pages 117-166 Central Bank of Chile.
  3. Barro, Robert J. & Gordon, David B., 1983. "Rules, discretion and reputation in a model of monetary policy," Journal of Monetary Economics, Elsevier, vol. 12(1), pages 101-121.
  4. Francisco Rosende & Matías Tapia, 2006. "La Caída de la Inflación en Chile: Políticas, Instituciones y Suerte," Documentos de Trabajo 308, Instituto de Economia. Pontificia Universidad Católica de Chile..
  5. Frederic S. Mishkin, 2000. "International Experiences with Different Monetary Policy Regimes," NBER Working Papers 7044, National Bureau of Economic Research, Inc.
  6. Robert J. Barro & David B. Gordon, 1981. "A Positive Theory of Monetary Policy in a Natural-Rate Model," NBER Working Papers 0807, National Bureau of Economic Research, Inc.
  7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  8. Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," NBER Working Papers 5893, National Bureau of Economic Research, Inc.
  9. Andrew T. Levin & Fabio M. Natalucci & Jeremy M. Piger, 2004. "The macroeconomic effects of inflation targeting," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 51-80.
  10. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany.
  11. Francisco Rosende R., 2004. "El marco teórico de la política monetaria," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 19(2), pages 85-117, December.
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