Colombian equity return and narrow money supply: an asymmetric cointegration analysis

Article Portuguese OPEN
Chu V. Nguyen;
  • Publisher: Konrad Lorenz FundaciĆ³n Universitaria
  • Journal: Suma de Negocios (issn: 2215-910X, eissn: 2215-910X)
  • Publisher copyright policies & self-archiving
  • Subject: Asymmetry | return on equity market | money supply M1 | TAR model | Colombia | Social sciences (General) | H1-99

The asymmetric, cointegrating relationship between the return on equity market and the narrowly defined money supply is documented. In fact, equity return and the monthly percentage change in the Colombian money supply M1 spread adjusts to the threshold value slower whe... View more
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