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]
AbstractIn 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14392.
Date of creation: Sep 2007
Date of revision:
política monetaria; inflación; mercado accionario; retorno de activos; GARCH;
Find related papers by JEL classification:
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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