Mercado accionario y tasa de interés
evidencia empírica para Colombia 2008–2023
DOI:
https://doi.org/10.46661/rev.metodoscuant.econ.empresa.11879Palabras clave:
tasa de interés, COLCAP, series de tiempo, Modelo EGARCH, cointegración, Causalidad de Granger, ColombiaResumen
Una de las relaciones más analizadas en el ámbito financiero y bursátil, así como en la literatura académica -especialmente en los últimos 25 años-, es la que existe entre la tasa de interés y el precio de las acciones, estudiada desde diversos enfoques. Este trabajo examina empíricamente la relación entre la tasa de interés de política monetaria y el mercado accionario colombiano, utilizando datos diarios para el periodo enero de 2008 a junio de 2023. Se aplican distintas técnicas de econometría de series de tiempo financieras: pruebas de cointegración entre el precio de las acciones y la tasa de interés con diversos estimadores; un modelo ARIMAX-EGARCH para capturar la volatilidad condicional asimétrica del rendimiento accionario y su relación con cambios en la tasa de interés; y un modelo VAR para analizar la causalidad en el sentido de Granger. Los resultados evidencian una relación de equilibrio de largo plazo entre el índice COLCAP y la tasa de interés; una volatilidad condicional asimétrica en el COLCAP explicada también por la tasa de política monetaria; y una causalidad bidireccional entre ambas variables.
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Derechos de autor 2024 Jacobo Campo Robledo, Carlos Fernando Parra Moreno
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