La política monetaria y su impacto sobre los retornos reales del mercado bursátil chilenoMonetary Policy and its impact over the Chilean stock market's real returnsJorge Muñoz , Claudio Recabal and Andrés Acuña () MPRA Paper from University Library of Munich, Germany 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). Keywords: política monetaria; inflación; mercado accionario; retorno de activos; GARCH (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:14392 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany |
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