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Efectos de la política monetaria sobre la valoración de activos en el mercado accionario colombiano (2004-2012)

Author

Listed:
  • Lopera C., Mauricio
  • González, Favián
  • Augusto Londoño, Charle

Abstract

Resumen: Esta investigación evalúa el impacto de la política monetaria sobre la valoración de los activos financieros en el mercado accionario colombiano. Basados en el modelo propuesto por Rigobon y Sack (2004) que valora el impacto que hay entre la política monetaria y el precio de los activos, se plantea un modelo VARX-MGARCH en media. Éste relaciona en forma no lineal el Índice General de la Bolsa de Valores de Colombia (IGBC) con la tasa de interés interbancaria (TIB) y de forma lineal estas dos variables con algunos factores de riesgo macroeconómicos y financieros. Realizando un análisis de impulso respuesta se encuentra que la política monetaria reflejada a través de los cambios en la TIB tiene un gran efecto sobre los precios de los activos financieros. Sin embargo, la relación inversa no es satisfecha.

Suggested Citation

  • Lopera C., Mauricio & González, Favián & Augusto Londoño, Charle, 2013. "Efectos de la política monetaria sobre la valoración de activos en el mercado accionario colombiano (2004-2012)," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 22, pages 179-196, July.
    • Handle: RePEc:col:000165:014694
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    More about this item

    Keywords

    variables macroeconómicas; mercado accionario; modelo VARXMGARCH en media.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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