Economic news and colombian sovereign bonds

This paper analyses the effect of surprises in local and international economic news on the Colombian local-currency government bond market. In this study, we categorize the different government bond issues into three constant-duration portfolios to correct for mismatching maturities among different...

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Autores:
Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
Villegas, Daniel
Hoyos, Alejandro
Altamar Barrios, Juan David
Tipo de recurso:
Article of investigation
Fecha de publicación:
2013
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5137
Acceso en línea:
http://hdl.handle.net/10726/5137
https://ssrn.com/abstract=2541488
Palabra clave:
Economic news
Bond Market
US news
Colombia
Rights
openAccess
License
Abierto (Texto Completo)
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oai_identifier_str oai:repository.cesa.edu.co:10726/5137
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Villegas, Danielafffce7c-0e20-43c4-81d1-2b699d36c089600Hoyos, Alejandroa8b3f025-2a0a-42ad-b1f8-0af1c33cd02d600Altamar Barrios, Juan Davidf4ce8419-fe2b-4cd3-8036-b32d07b1b8a9600Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [0000-0002-4113-5521]Sarmiento Sabogal, Julio Alejandro [57196465468]Cayón Fallon, Edgardo [56395390800]2023-06-21T22:23:12Z2023-06-21T22:23:12Z2013http://hdl.handle.net/10726/5137instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1450-2887https://ssrn.com/abstract=2541488engEuroJournalsEconomic news and colombian sovereign bondsarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2This paper analyses the effect of surprises in local and international economic news on the Colombian local-currency government bond market. In this study, we categorize the different government bond issues into three constant-duration portfolios to correct for mismatching maturities among different Colombian bond issues. We use quantile regression to model the effect of the surprise component on portfolio returns, since this method is robust to asymmetry, and to the presence of heavy tails in the distribution of the data. Under the assumption of inflation expectations, our results found that in the short term, international news has a greater effect than similar domestic news items, but this is not the case for longer maturities; the only exception to the surprise component of US unemployment.https://orcid.org/0000-0001-5986-4813https://orcid.org/0000-0002-4113-5521https://www.scopus.com/authid/detail.uri?authorId=57196465468https://www.scopus.com/authid/detail.uri?authorId=56395390800109156167International Research Journal of Finance and EconomicsEconomic newsBond MarketUS newsColombia10726/5137oai:repository.cesa.edu.co:10726/51372023-09-18 09:30:17.04metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Economic news and colombian sovereign bonds
title Economic news and colombian sovereign bonds
spellingShingle Economic news and colombian sovereign bonds
Economic news
Bond Market
US news
Colombia
title_short Economic news and colombian sovereign bonds
title_full Economic news and colombian sovereign bonds
title_fullStr Economic news and colombian sovereign bonds
title_full_unstemmed Economic news and colombian sovereign bonds
title_sort Economic news and colombian sovereign bonds
dc.creator.fl_str_mv Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
Villegas, Daniel
Hoyos, Alejandro
Altamar Barrios, Juan David
dc.contributor.author.spa.fl_str_mv Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
Villegas, Daniel
Hoyos, Alejandro
Altamar Barrios, Juan David
dc.contributor.orcid.none.fl_str_mv Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
Cayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.scopus.none.fl_str_mv Sarmiento Sabogal, Julio Alejandro [57196465468]
Cayón Fallon, Edgardo [56395390800]
dc.subject.proposal.none.fl_str_mv Economic news
Bond Market
US news
Colombia
topic Economic news
Bond Market
US news
Colombia
description This paper analyses the effect of surprises in local and international economic news on the Colombian local-currency government bond market. In this study, we categorize the different government bond issues into three constant-duration portfolios to correct for mismatching maturities among different Colombian bond issues. We use quantile regression to model the effect of the surprise component on portfolio returns, since this method is robust to asymmetry, and to the presence of heavy tails in the distribution of the data. Under the assumption of inflation expectations, our results found that in the short term, international news has a greater effect than similar domestic news items, but this is not the case for longer maturities; the only exception to the surprise component of US unemployment.
publishDate 2013
dc.date.issued.none.fl_str_mv 2013
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:12Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:12Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5137
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1450-2887
dc.identifier.url.none.fl_str_mv https://ssrn.com/abstract=2541488
url http://hdl.handle.net/10726/5137
https://ssrn.com/abstract=2541488
identifier_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1450-2887
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationissue.none.fl_str_mv 109
dc.relation.citationstartpage.none.fl_str_mv 156
dc.relation.citationendpage.none.fl_str_mv 167
dc.relation.ispartofjournal.none.fl_str_mv International Research Journal of Finance and Economics
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.local.none.fl_str_mv Abierto (Texto Completo)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv EuroJournals
publisher.none.fl_str_mv EuroJournals
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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