Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market

Luis Arango Thomas, Andres Gonzalez and Carlos Posada

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This work presents some evidence of the nonlinear and inverse relationschip between the share prices on the Bogotá stock market and the interest rate as measured by the interbank loan interest rate, which is to some extent affected by monetary policy. The model captures the stylised fact on this market of higt dependence of returns in short market in Colombia. Evidence of a non constant equity premium is also found. The work uses daily data from january 1994 up to February 2000.

Keywords: nonlinearities; stock returns; interest rate; smooth transition regression; GARCH models. (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 2001-01
New Economics Papers: this item is included in nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.32468/be.169 (application/pdf)

Related works:
Journal Article: Returns and the interest rate: a non-linear relationship in the Bogotastock market (2002)
Working Paper: RETURNS AND INTEREST RATE: A NONLINEAR RELATIONSHIP IN THE BOGOTA STOCK MARKET (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:169

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica de Colombia Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera ().