Las primas de riesgo de renta variable ex post y los ciclos económicos en colombia: una investigación empírica utilizando los filtros de kalman y hodrick-prescott
This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put forward for each...
- Autores:
-
Gómez-Sánchez, Andrés Mauricio
Astaiza-Gómez, José Gabriel
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2015
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- spa
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/17646
- Acceso en línea:
- https://hdl.handle.net/10983/17646
- Palabra clave:
- Prima por riesgo
Actividad económica
Ciclo económico
Filtro de kalman
Filtro de hodrick-prescott
Mercado accionario Colombiano
- Rights
- openAccess
- License
- Derechos Reservados - Universidad Católica de Colombia, 2015
| Summary: | This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put forward for each filter, incorporating monthly data from 2008 to 2014. This reveals better adjustments in the case of the Kalman filter. Furthermore, the models show that the relationship between variables that reflect economic activity and ERP are counter-cyclical but not simultaneous, with a lag of up to two periods. |
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