Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/319671 
Year of Publication: 
2025
Citation: 
[Journal:] Journal of Economics, Finance and Administrative Science [ISSN:] 2218-0648 [Volume:] 30 [Issue:] 59 [Year:] 2025 [Pages:] 41-60
Publisher: 
Emerald Publishing Limited, Leeds
Abstract: 
Purpose - This study aims to explore the asymmetric effects of macroeconomic factors on the profitability of large-cap companies in an emerging country like Colombia, using the Morgan Stanley Capital International (MSCI) Colombia index as the basis. Design/methodology/approach We employ a combination of singular spectrum analysis (SSA) and principal component analysis (PCA) to identify and estimate four key macroeconomic factors that account for approximately 47.8% of Colombia's macroeconomy. These factors encompass indicators related to inflation and cost of living, foreign trade and exchange rate, employment and labor force and trade and production in Colombia. We utilize the distributed lag nonlinear model (DLNM) to analyze the asymmetric relationships between these factors and corporate profitability, considering different scenarios and lags. Findings Our analysis reveals that there are indeed asymmetric relationships between the identified macroeconomic factors and corporate profitability. These relationships exhibit variability over time and lags, indicating the nuanced nature of their impact on corporate performance. Originality/value This study contributes to the existing literature by applying a novel methodology that combines SSA and PCA to identify macroeconomic factors within the Colombian context. Additionally, our focus on asymmetric relationships and their dynamic nature in relation to corporate profitability, using DLNM, adds original insights to the research on this subject.
Subjects: 
Asymmetry
DLNM
Factor analysis
MSCI index
Profitability
JEL: 
E22
E44
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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