An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields

dc.coverage.sucursalBogotáspa
dc.creatorGuarín-López, Alexander
dc.creatorMoreno-Gutiérrez, José Fernando
dc.creatorVargas-Herrera, Hernando
dc.creator.firmaAlexander Guarin
dc.date.accessioned2014-05-19T08:30:10Zeng
dc.date.available2014-05-19T08:30:10Z
dc.date.created2014-05-19
dc.date.issued2014-05-19
dc.description.abstractWe study the relationship between US and Colombian sovereign debt interest rates. We also evaluate the response of the Colombian long-term bond yield and other asset prices to shocks to the US long-term Treasury rate. Two empirical exercises are performed. First, we use a moving window linear regression to examine the link between sovereign bond yields. Second, we estimate a VARX – MGARCH model to compute the short-term response of local asset prices to foreign financial shocks. Our exercises consider daily data between 2004 and 2013. The analysis is performed on three sample periods (i.e. before, during and after the global financial crisis). Our findings show that the link between sovereign bond yields has changed over time. Moreover, the short-run responses of local asset prices to foreign financial shocks have been qualitatively different in the three periods. The especial role of US Treasuries as a “safe haven asset” during highly volatile time spans seems to be at the root of these changes.eng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6109spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6109
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.822spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 822
dc.relation.numberBorrador 822spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/822.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:822spa
dc.subject.jelC30 - Multiple/Simultaneous Equation Models; Multiple Variables: Generaleng
dc.subject.jelE43 - Interest Rates: Determination, Term Structure, and Effectseng
dc.subject.jelE58 - Central Banks and Their Policieseng
dc.subject.jelF42 - International Policy Coordination and Transmissioneng
dc.subject.jelG15 - International Financial Marketseng
dc.subject.jelspaC30 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: Generalidadesspa
dc.subject.jelspaE43 - Tipos de interés: determinación, estructura temporal y efectosspa
dc.subject.jelspaE58 - Bancos centrales y sus políticasspa
dc.subject.jelspaF42 - Coordinación y transmisión de la política internacionalspa
dc.subject.jelspaG15 - Mercados financieros internacionalesspa
dc.subject.keywordLong-term Bond Yieldseng
dc.subject.keywordGlobal Financial Crisiseng
dc.subject.keywordEmerging Marketseng
dc.subject.keywordMoving Window Linear Regressioneng
dc.subject.keywordVARX – MGARCH Modeleng
dc.titleAn Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yieldseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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