Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market


  • Borradores de economía


  • This work presents some evidence of the nonlinear and inverse relationship between the share prices on the Bogotá stock market and the interest rate as measured by the interbank loan interest rate, which is to some extent affected by monetary policy. The model captures the stylized fact on this market of high dependence of returns in short market in Colombia. Evidence of a non-constant equity premium is also found. The work uses daily data from January 1994 up to February 2000.

fecha de publicación

  • 2001-01

Líneas de investigación

  • Bogotá
  • GARCH Models
  • Interest Rate
  • Nonlinearities
  • Smooth Transition Regression
  • Stock Returns


  • 169