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Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange

Gómez-González, José Eduardo; Sanabria-Buenaventura, … - BANCO DE LA REPÚBLICA - 2012

We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical … linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC …), supporting the hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM. …

Persistent link: https://www.econbiz.de/10010763661

Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence

León, Carlos; Leiton, Karen; Reveiz, Alejandro - BANCO DE LA REPÚBLICA - 2012

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … fixes the CAPM´s bias resulting from this abiding -but flawed- assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

Persistent link: https://www.econbiz.de/10010763678

Validez del Supuesto de Neutralidad del Horizonte de Tiempo en el CAPM y la Metodología del Rango Reescalado: Aplicación a Colombia

Rodríguez, Karen Juliet Leiton - BANCO DE LA REPÚBLICA - 2011

neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en …

Persistent link: https://www.econbiz.de/10009325836

Una Aproximación a La Dinámica de las Tasas de Interés de Corto Plazo en Colombia a través de Modelos GARCH Multivariados

Velandia, Luis Fernando Melo; Camargo, Oscar Reinaldo … - BANCO DE LA REPÚBLICA - 2006

Este documento estudia una parte relevante del mecanismo de transmisión de la política monetaria asociado con el crédito bancario. Con tal objeto se estima un modelo VARXGARCH multivariado para establecer la relación, en frecuencia diaria, entre dos tasas de interés de corto plazo, la CDT y...

Persistent link: https://www.econbiz.de/10005464407

Commodity price shocks and inflation within an optimal monetary policy framework: the case of Colombia

Arango, Luis Eduardo; Chavarro, Ximena; González, Eliana - BANCO DE LA REPÚBLICA - 2014

A small open macroeconomic model, in which an optimal interest rate rule emerges to drive the inflation behavior, is used to model inflation within an inflation targeting framework. This set up is used to estimate the relationship between commodity prices shocks and the inflation process in a...

Persistent link: https://www.econbiz.de/10011105159

The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia

Espinosa-Torres, Juan Andrés; Gomez-Gonzalez, Jose E.; … - BANCO DE LA REPÚBLICA - 2015

We study the effect of shocks to the United States government bonds term premium on Latin American government bonds term premia. For doing so, we compute dynamic multipliers. Our main findings indicate that Latin American countries’ term premia respond permanently to changes in United States...

Persistent link: https://www.econbiz.de/10011188612

Output gap and Neutral interest measures for Colombia

González, Andrés; Ocampo, Sergio; Pérez, Julián; … - BANCO DE LA REPÚBLICA - 2012

In this paper two new measures of the Colombian output gap and the real neutral interest rate are proposed. Instead of relying only on statistical filters, the proposed measures use semi-structural New-Keynesian models, adapted for a small open economy. The output gap measures presented are in...

Persistent link: https://www.econbiz.de/10010828178

Inflation Targeting in Colombia, 2002-2012

Hamann, Franz; Hofstetter, Marc; Urrutia, Miguel - BANCO DE LA REPÚBLICA - 2014

After decades using monetary aggregates as the main instrument of monetary policy and having different varieties of crawling peg exchange rate regimes, Colombia adopted a full-fledged inflation-targeting (IT) regime in 1999, with inflation as the nominal anchor, a floating exchange rate, and the...

Persistent link: https://www.econbiz.de/10010828188

Forecasting Latin-American yield curves: An artificial neural network approach

Vela, Daniel - BANCO DE LA REPÚBLICA - 2013

This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson & Siegel and Svensson. Several forecasting methodologies are contrasted: an autoregressive model, a vector...

Persistent link: https://www.econbiz.de/10010763655

An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields?

Guarín, Alexander; Moreno, José Fernando; Vargas, Hernando - BANCO DE LA REPÚBLICA - 2014

Colombian long-term bond yield and other asset prices to shocks to the US long-term Treasury rate. Two empirical exercises are … performed. First, we use a moving window linear regression to examine the link between sovereign bond yields. Second, we … after the global financial crisis). Our findings show that the link between sovereign bond yields has changed over time …

Persistent link: https://www.econbiz.de/10010774629