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 evidence...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidad EAFIT
2013-11-01
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| Series: | Ecos de Economía |
| Subjects: | |
| Online Access: | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300 |
| _version_ | 1818064850917523456 |
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| author | Andrés Mauricio Gómez Sánchez José Gabriel Astaiza Gómez |
| author_facet | Andrés Mauricio Gómez Sánchez José Gabriel Astaiza Gómez |
| author_sort | Andrés Mauricio Gómez Sánchez |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-12-10T14:42:33Z |
| format | Article |
| id | doaj.art-5e415e1c189f4f5b88790588276fc844 |
| institution | Directory Open Access Journal |
| issn | 1657-4206 |
| language | English |
| last_indexed | 2024-12-10T14:42:33Z |
| publishDate | 2013-11-01 |
| publisher | Universidad EAFIT |
| record_format | Article |
| series | Ecos de Economía |
| spelling | doaj.art-5e415e1c189f4f5b88790588276fc8442022-12-22T01:44:39ZengUniversidad EAFITEcos de Economía1657-42062013-11-0117371091241894Business Cycle and Risk Premium in the Colombian Stock MarketAndrés Mauricio Gómez Sánchez0José Gabriel Astaiza Gómez1Universidad del CaucaUniversidad del CaucaThrough 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.http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300Ciclo económicoConsumoPIBTasa de desempleoPrima por riesgo |
| spellingShingle | Andrés Mauricio Gómez Sánchez José Gabriel Astaiza Gómez Business Cycle and Risk Premium in the Colombian Stock Market Ecos de Economía Ciclo económico Consumo PIB Tasa de desempleo Prima por riesgo |
| title | 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_short | Business Cycle and Risk Premium in the Colombian Stock Market |
| title_sort | business cycle and risk premium in the colombian stock market |
| topic | Ciclo económico Consumo PIB Tasa de desempleo Prima por riesgo |
| url | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/2300 |
| work_keys_str_mv | AT andresmauriciogomezsanchez businesscycleandriskpremiuminthecolombianstockmarket AT josegabrielastaizagomez businesscycleandriskpremiuminthecolombianstockmarket |