Skip to main content
Article
La política monetaria y su impacto sobre los retornos reales del mercado bursátil chileno
Horizontes Empresariales (2007)
  • Jorge A. Muñoz, Universidad de Concepción
  • Claudio A. Recabal
  • Andres A. Acuña
Abstract
In this article we examined and tested the effects of monetary policy driven by Central Bank of Chile over the Chilean stock market's real returns for monthly data which spans between I.1996 and XII.2006. Based on a theoretical background, we analyzed the monetary policy from the monetarist and Keynesian points of view, their schemes and economics results. Once we analyzed the stock market in detail, from a sectorial perspective, we applied a GARCH (1, 1) model as a framework, in order to measure the impact that monetary policy has over the Chilean stock market's real returns under an inflation targeting scheme. The results show a good adherence for real returns modeling in several economic sectors. However, it seems that the degree of adjustment is notoriously altered at those sectors that show a greater volatility. However, we are able to estimate the time that takes to the monetary policy decision to impact stock market's real returns for each economic activity (Services, Commerce, Manufacturing, Mining, Real State).
Keywords
  • monetary policy,
  • inflation,
  • stock market,
  • asset returns,
  • GARCH
Disciplines
Publication Date
December, 2007
Citation Information
Jorge A. Muñoz, Claudio A. Recabal and Andres A. Acuña. "La política monetaria y su impacto sobre los retornos reales del mercado bursátil chileno" Horizontes Empresariales Vol. 6 Iss. 2 (2007) p. 9 - 29 ISSN: 0717-9901
Available at: http://works.bepress.com/andres_acuna/15/