Impacto de las noticias sobre el mercado de deuda pública interna en Colombia

Abstract

"This paper tries to understand the impact that political and economic announcements might have on the prices of domestic public bonds in Colombia. The main aim is to find out whether the TES market reacts to these news re/eases and if its response adjusts to the a-priori analysis of these variables. Two econometric estimations were run to analyze the relationship between public bonds and the announcements as a way of filtering out the presence of heteroskedasticisty, typical of capital markets' time series. The first estimation was run using the Robust Standard Errors model while the second was based on the CARCH model. The main conclusions suggest that the TES market reacts quickly to new information, particularly to news related to multilateral agreements, changes in credit ratings and monetary policy."