Business Cycle and Risk Premium in the Colombian Stock Market
Through the Hodrick-Prescott methodology this paper presents a review about the relationship between the ex post risk premium of the stock market and business cycles observed in Colombia -- Through quarterly information from the fourth quarter of 2001 to the third quarter of 2012, statistical eviden...
- Autores:
-
Gómez Sánchez, Andrés Mauricio
Astaiza Gómez, José Gabriel
- Tipo de recurso:
- Fecha de publicación:
- 2013
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/7824
- Acceso en línea:
- http://hdl.handle.net/10784/7824
- Palabra clave:
- D91
E21
E32
E44
G11
G12
G14
Filtro de Hodrick Prescott
Prima de riesgo
PRODUCTO INTERNO BRUTO
MERCADO DE CAPITALES
CICLOS ECONÓMICOS
Gross domestic product
Capital market
Business cycles
- Rights
- License
- Acceso abierto
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2013-11-292015-11-30T20:39:42Z2013-11-292015-11-30T20:39:42Z1657-4206http://hdl.handle.net/10784/7824Through the Hodrick-Prescott methodology this paper presents a review about the relationship between the ex post risk premium of the stock market and business cycles observed in Colombia -- Through quarterly information from the fourth quarter of 2001 to the third quarter of 2012, statistical evidence shows that the increase and decrease of ex post risk premium follow a countercyclical behavior in tune with existing research conducted about the United States and emerging economies, although with non-contemporary relationships with private consumption -- In addition, it is found that in the last decade the Colombian risk premium follows a process of Auto Regressive Moving Average Models (ARMA), showing that there is no variation in at least two consecutive quarters and whose behavior is generated in part by external events at the domestic economic activity level experienced in near past periodsEste artículo presenta una revisión de la relación entre la prima por riesgo ex post del mercado accionario y los ciclos económicos observados en Colombia recurriendo a la metodología Hodrick-Prescott -- Con información trimestral desde el cuarto trimestre de 2001 al tercer trimestre de 2012, la evidencia estadística muestra que los aumentos y disminuciones de la prima por riesgo ex post siguen un comportamiento contracíclico en sintonía con las investigaciones realizadas hasta ahora para Estados Unidos y economías emergentes, aunque con relaciones no contemporáneas con el consumo privado -- Adicionalmente se encuentra que en la última década la prima por riesgo en Colombia sigue un proceso de modelos autorregresivos de media móvil (ARMA, por las siglas en inglés de AutoRegressive Moving Average Models), mostrando que no varía por lo menos en dos trimestres contiguos y cuyo comportamiento es generado en parte por eventos externos al nivel de actividad económica nacional acaecidos en periodos pasados cercanosapplication/pdfspaUniversidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 17, No 37 (2013); 109-124http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITEcos de Economía: A Latin American Journal of Applied Economics; Vol 17, No 37 (2013); 109-124D91E21E32E44G11G12G14Filtro de Hodrick PrescottPrima de riesgoPRODUCTO INTERNO BRUTOMERCADO DE CAPITALESCICLOS ECONÓMICOSGross domestic productCapital marketBusiness cyclesBusiness Cycle and Risk Premium in the Colombian Stock MarketCiclo económico y prima por riesgo en el mercado accionario colombianoinfo:eu-repo/semantics/articlearticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Acceso abiertohttp://purl.org/coar/access_right/c_abf2Gómez Sánchez, Andrés MauricioAstaiza Gómez, José GabrielUniversidad del CaucaUniversidad del CaucaEcos de Economía: A Latin American Journal of Applied Economics1737109124ecos.econ.ORIGINALarticulo.htmlarticulo.htmlTexto completo HTMLtext/html371https://repository.eafit.edu.co/bitstreams/a03998eb-ac99-478b-a4aa-e3197e65ed5f/download91a8f328085529ae98d3c03ddf991f7bMD51document - 2020-03-09T090526.559.pdfdocument - 2020-03-09T090526.559.pdfTexto completo PDFapplication/pdf592326https://repository.eafit.edu.co/bitstreams/af56e715-c2dc-438a-a44b-ccd579fbc5a4/downloada92957eb2626113bec7dd9fb268c8869MD52THUMBNAILminaitura-ecos_Mesa de trabajo 1.jpgminaitura-ecos_Mesa de trabajo 1.jpgimage/jpeg251248https://repository.eafit.edu.co/bitstreams/5b5bb92b-e594-435c-a82c-3cfdf49d5cae/download9b15d674b076c1793a0bc25cebb1bcefMD5310784/7824oai:repository.eafit.edu.co:10784/78242020-03-09 09:05:28.344open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co |
| dc.title.eng.fl_str_mv |
Business Cycle and Risk Premium in the Colombian Stock Market |
| dc.title.spa.fl_str_mv |
Ciclo económico y prima por riesgo en el mercado accionario colombiano |
| title |
Business Cycle and Risk Premium in the Colombian Stock Market |
| spellingShingle |
Business Cycle and Risk Premium in the Colombian Stock Market D91 E21 E32 E44 G11 G12 G14 Filtro de Hodrick Prescott Prima de riesgo PRODUCTO INTERNO BRUTO MERCADO DE CAPITALES CICLOS ECONÓMICOS Gross domestic product Capital market Business cycles |
| title_short |
Business Cycle and Risk Premium in the Colombian Stock Market |
| title_full |
Business Cycle and Risk Premium in the Colombian Stock Market |
| title_fullStr |
Business Cycle and Risk Premium in the Colombian Stock Market |
| title_full_unstemmed |
Business Cycle and Risk Premium in the Colombian Stock Market |
| title_sort |
Business Cycle and Risk Premium in the Colombian Stock Market |
| dc.creator.fl_str_mv |
Gómez Sánchez, Andrés Mauricio Astaiza Gómez, José Gabriel |
| dc.contributor.author.spa.fl_str_mv |
Gómez Sánchez, Andrés Mauricio Astaiza Gómez, José Gabriel |
| dc.contributor.affiliation.spa.fl_str_mv |
Universidad del Cauca Universidad del Cauca |
| dc.subject.none.fl_str_mv |
D91 E21 E32 E44 G11 G12 G14 Filtro de Hodrick Prescott Prima de riesgo |
| topic |
D91 E21 E32 E44 G11 G12 G14 Filtro de Hodrick Prescott Prima de riesgo PRODUCTO INTERNO BRUTO MERCADO DE CAPITALES CICLOS ECONÓMICOS Gross domestic product Capital market Business cycles |
| dc.subject.lemb.none.fl_str_mv |
PRODUCTO INTERNO BRUTO MERCADO DE CAPITALES CICLOS ECONÓMICOS |
| dc.subject.keyword.none.fl_str_mv |
Gross domestic product Capital market Business cycles |
| description |
Through the Hodrick-Prescott methodology this paper presents a review about the relationship between the ex post risk premium of the stock market and business cycles observed in Colombia -- Through quarterly information from the fourth quarter of 2001 to the third quarter of 2012, statistical evidence shows that the increase and decrease of ex post risk premium follow a countercyclical behavior in tune with existing research conducted about the United States and emerging economies, although with non-contemporary relationships with private consumption -- In addition, it is found that in the last decade the Colombian risk premium follows a process of Auto Regressive Moving Average Models (ARMA), showing that there is no variation in at least two consecutive quarters and whose behavior is generated in part by external events at the domestic economic activity level experienced in near past periods |
| publishDate |
2013 |
| dc.date.issued.none.fl_str_mv |
2013-11-29 |
| dc.date.available.none.fl_str_mv |
2015-11-30T20:39:42Z |
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2015-11-30T20:39:42Z |
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2013-11-29 |
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info:eu-repo/semantics/article article |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_2df8fbb1 |
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Artículo |
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1657-4206 |
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http://hdl.handle.net/10784/7824 |
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1657-4206 |
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http://hdl.handle.net/10784/7824 |
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spa |
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spa |
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Ecos de Economía: A Latin American Journal of Applied Economics; Vol 17, No 37 (2013); 109-124 |
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http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300 |
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http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300 |
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Acceso abierto |
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Acceso abierto http://purl.org/coar/access_right/c_abf2 |
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application/pdf |
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Universidad EAFIT |
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