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Ciclo económico y prima por riesgo en el mercado accionario colombiano

Author

Listed:
  • Andrés Mauricio Gómez Sánchez
  • José Gabriel Astaiza Gómez

Abstract

Este artículo presenta una revisión de la relación entre la prima por riesgo ex post del mercado accionario y los ciclos económicos observados en Colombia recurriendo a la metodología Hodrick-Prescott. Con información trimestral desde el cuarto trimestre de 2001 al tercer trimestre de 2012, la evidencia estadística muestra que los aumentos y disminuciones de la prima por riesgo ex post siguen un comportamiento contracíclico en sintonía con las investigaciones realizadas hasta ahora para Estados Unidos y economías emergentes, aunque con relaciones no contemporáneas con el consumo privado. Adicionalmente se encuentra que en la última década la prima por riesgo en Colombia sigue un proceso de modelos autorregresivos de media móvil (ARMA, por las siglas en inglés de AutoRegressive Moving Average Models), mostrando que no varía por lo menos en dos trimestres contiguos y cuyo comportamiento es generado en parte por eventos externos al nivel de actividad económica nacional acaecidos en periodos pasados cercanos.

Suggested Citation

  • Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez, 2013. "Ciclo económico y prima por riesgo en el mercado accionario colombiano," Revista Ecos de Economía, Universidad EAFIT, December.
    • Handle: RePEc:col:000442:012007
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    File URL: http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300/2251
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    References listed on IDEAS

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    More about this item

    Keywords

    Ciclo económico; consumo; PIB; tasa de desempleo; prima por riesgo;
    All these keywords.

    JEL classification:

    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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