A signal of imperfect portfolio capital adjustments from the relationship between yields of domestic and foreign colombian debt

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Borradores de Economía; No. 216

Date published

2002-08-20

Date

2002-08-20

Authors

Arango-Thomas, Luis Eduardo
Betancourt-García, Yanneth Rocío

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ISBN

Document language

spa
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Las 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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

In this paper we check the relationship between the yields of the Colombian bonds traded in the (secondary) internal market and the yields of the sovereign global securities for the sample period 1999-2001. The hypothesis we maintain is that, under the as

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JEL Codes

G14 - Information and Market Efficiency; Event Studies; Insider Trading

Temática

Keywords

Keywords

Yield , Interest Parity , Capital mobility , Nonlinearities , Cointegration , Threshold adjustment

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URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5234
 https://hdl.handle.net/20.500.12134/5234
 https://ideas.repec.org/p/bdr/borrec/216.html
 https://doi.org/10.32468/be.216

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