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...
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| Format: | Article |
| Language: | English |
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Universidad Católica de Colombia
2015-01-01
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| Series: | Revista Finanzas y Política Económica |
| Subjects: | |
| Online Access: | http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/131/175 |
| _version_ | 1827617139971850240 |
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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 | 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. |
| first_indexed | 2024-03-09T09:38:49Z |
| format | Article |
| id | doaj.art-6b5f7aa39ab141d888ec07e0a4375ba4 |
| institution | Directory Open Access Journal |
| issn | 2248-6046 2011-7663 |
| language | English |
| last_indexed | 2024-03-09T09:38:49Z |
| publishDate | 2015-01-01 |
| publisher | Universidad Católica de Colombia |
| record_format | Article |
| series | Revista Finanzas y Política Económica |
| spelling | doaj.art-6b5f7aa39ab141d888ec07e0a4375ba42023-12-02T01:04:31ZengUniversidad Católica de ColombiaRevista Finanzas y Política Económica2248-60462011-76632015-01-0171109129http://dx.doi.org/10.14718/revfinanzpolitecon.2015.7.1.6Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott FiltersAndrés Mauricio Gómez Sánchez0José Gabriel Astaiza Gómez1Universidad del Cauca, Popayan, ColombiaUniversidad del Cauca, Popayan, ColombiaABSTRACT 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.http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/131/175risk premiumeconomic activityeconomic cycleKalmanfilterHodrick-Prescott filterColombian stock market. prima por riesgoactividad económicaciclo económicofiltro de Kalmanfiltro de Hodrick-Prescottmercado accionario colombiano |
| spellingShingle | Andrés Mauricio Gómez Sánchez José Gabriel Astaiza Gómez Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters Revista Finanzas y Política Económica 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 |
| title | Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters |
| title_full | Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters |
| title_fullStr | Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters |
| title_full_unstemmed | Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters |
| title_short | Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters |
| title_sort | ex post equity risk premiums and economic cycles in colombia an empirical research using kalman and hodrick prescott filters |
| topic | 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 |
| url | http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/131/175 |
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