Abstract (Translated):
One of the most widely analyzed relationships in both financial markets and academic literature-particularly over the past 25 years-is that between interest rates and stock prices, approached from various perspectives. This study empirically examines the relationship between the monetary policy interest rate and the Colombian stock market, using daily data for the period from January 2008 to June 2023. Several econometric techniques for financial time series are applied: cointegration tests between stock prices and the interest rate using different estimators; an ARIMAX-EGARCH model to capture the asymmetric conditional volatility of stock returns and its relationship with changes in the interest rate; and a VAR model to analyze Granger causality. The results provide evidence of a long-term equilibrium relationship between the COLCAP index and the interest rate; an asymmetric conditional volatility in the COLCAP also explained by the monetary policy rate; and a bidirectional causality between the two variables.
