Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market
Download full text from publisher
Other versions of this item:
- L. E. Arango & A. Gonzalez & C. E. Posada, 2002. "Returns and the interest rate: a non-linear relationship in the Bogotastock market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 835-842.
- 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.
References listed on IDEAS
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002.
"Smooth Transition Autoregressive Models — A Survey Of Recent Developments,"
Taylor & Francis Journals, vol. 21(1), pages 1-47.
- van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
- Ben S. Bernanke & Mark Gertler, 1999.
"Monetary policy and asset price volatility,"
Federal Reserve Bank of Kansas City, issue Q IV, pages 17-51.
- Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
- Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003.
"Time-Varying Smooth Transition Autoregressive Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 21(1), pages 104-121, January.
- Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000. "Time-Varying Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 376, Stockholm School of Economics.
- Baillie, Richard T & Bollerslev, Tim, 2002.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 60-68, January.
- Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
- Tom Doan, "undated". "RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects," Statistical Software Components RTZ00172, Boston College Department of Economics.
- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review,
American Economic Association, vol. 71(3), pages 421-436, June.
- Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
- Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:lde:journl:y:2019:i:91:p:117-150 is not listed on IDEAS
- Papadamou, Stephanos & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2017. "Interest rate dynamic effect on stock returns and central bank transparency: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 951-962.
- Andrew Phiri, 2018.
"Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach,"
International Journal of Sustainable Economy,
Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
- Andrew Phiri, 2017. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence appraoch," Working Papers 1709, Department of Economics, Nelson Mandela University, revised Aug 2017.
- Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
- Pallegedara, Asankha, 2012. "Dynamic relationships between stock market performance and short term interest rate Empirical evidence from Sri Lanka," MPRA Paper 40773, University Library of Munich, Germany.
- Pooja Joshi & Arun Kumar Giri, 2015. "Fiscal Deficits and Stock Prices in India: Empirical Evidence," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(3), pages 1-18, August.
- BENDOB, Ali & Benahmed-Daho, Rachida, 2017.
"Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
[Could we use the Euribor as risk-free rate return in Arabic region?]," MPRA Paper 81405, University Library of Munich, Germany, revised Jun 2017.
- María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia.
- Francisco Jareno, 2008. "Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3159-3171.
- repec:eaa:aeinde:v:17:y:2017:i:2_5 is not listed on IDEAS
- Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," Documentos CEDE 016086, Universidad de los Andes - CEDE.
- repec:eee:quaeco:v:71:y:2019:i:c:p:188-204 is not listed on IDEAS
- repec:gam:jecomi:v:7:y:2019:i:1:p:11-:d:205000 is not listed on IDEAS
- David Mauricio Rivera Palacio, 2009. "Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH," Revista de Economía del Rosario, Universidad del Rosario, May.
More about this item
Keywordsnonlinearities; stock returns; interest rate; smooth transition regression; GARCH models.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2003-04-02 (Financial Markets)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:169. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera). General contact details of provider: http://edirc.repec.org/data/brcgvco.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.