Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters

Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters

ABSTRACT 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...

Full description

Bibliographic Details
Main Authors: Andrés Mauricio Gómez Sánchez, José Gabriel Astaiza Gómez
Format: Article
Language:English
Published: Universidad Católica de Colombia 2015-01-01
Series:Revista Finanzas y Política Económica
Subjects:
risk premium
economic activity
economic cycle
Kalmanfilter
Hodrick-Prescott filter
Colombian stock market. prima por riesgo
actividad económica
ciclo económico
filtro de Kalman
filtro de Hodrick-Prescott
mercado accionario colombiano
Online Access:http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/131/175
Description
Summary:ABSTRACT 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.******Este artículo pretende indagar por la relación existente entre la prima por riesgo ex post (ERP) del mercado accionario colombiano y los ciclos económicos observados para este país, a través de las metodologías del filtro mecánico de Hodrick-Prescott y el filtro de Kalman. Así, se plantea un modelo econométrico a corto plazo para cada uno de los filtros, con información mensual desde 2008 a 2014, lo que permite evidenciar mejores ajustes en el caso Kalman. Los modelos muestran que la relación entre las variables que capturan la actividad económica y la ERP resultó ser contra cíclica pero no contemporánea, con rezagos de hasta dos periodos.
ISSN:2248-6046
2011-7663

Similar Items