Abstract

LOPERA C, Mauricio; GONZALEZ, Favián  and  AUGUSTO LONDONO, Charle. Effects of monetary policy asset valuation in the market Colombian stock (2004-2012). Perf. de Coyunt. Econ. [online]. 2013, n.22, pp.179-196. ISSN 1657-4214.

We evaluate the impact of monetary politics on the valuation of financial assets in the Colombian stock market. Based on the model proposed by Rigobon and Sack (2004), which quantifies the impact between monetary policies and asset prices, we propose a VARX-MGARCH in mean model. This model nonlinearly relates the General Index of the Stock Exchange of Colombia (IGBC) and the interbank interest rate (TIB), and linearly relates the IGBC and TIB with other macroeconomic and financial risk factors. After performing an impulse-response analysis, it is found that the monetary policy, reflected as changes in TIB, has an important effect on the price of the financial assets. However, the converse is not true.

Keywords : macroeconomic variables; stock market; VARX-MGARCH model in mean.

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