Economic News and Colombian Sovereign Bonds

International Research Journal of Finance and Economics, 109: 156-167.

13 Pages Posted: 23 Dec 2014

See all articles by Julio Sarmiento-Sabogal

Julio Sarmiento-Sabogal

Pontificia Universidad Javeriana

Edgardo Cayon Fallon

Colegio de Estudios Superiores de Administracion

Daniel Villegas

Haywood Securities

Alejandro Hoyos

Pontificia Universidad Javeriana - Bogotá

Juan David Altamar

Pontificia Universidad Javeriana

Date Written: 2013

Abstract

This paper analyses the effect of surprises in local and international economic news on the Colombian local-currency government bond market. In this study, we categorize the different government bond issues into three constant-duration portfolios to correct for mismatching maturities among different Colombian bond issues. We use quantile regression to model the effect of the surprise component on portfolio returns, since this method is robust to asymmetry, and to the presence of heavy tails in the distribution of the data. Under the assumption of inflation expectations, our results found that in the short term, international news has a greater effect than similar domestic news items, but this is not the case for longer maturities; the only exception to the surprise component of US unemployment.

Keywords: Economic news, Bond Market, US news, Colombia

JEL Classification: G14, G15

Suggested Citation

Sarmiento-Sabogal, Julio and Cayon Fallon, Edgardo and Villegas, Daniel and Hoyos, Alejandro and Altamar, Juan David, Economic News and Colombian Sovereign Bonds (2013). International Research Journal of Finance and Economics, 109: 156-167., Available at SSRN: https://ssrn.com/abstract=2541488

Julio Sarmiento-Sabogal (Contact Author)

Pontificia Universidad Javeriana ( email )

Carrera 7 # 40-62 Piso 4
FCEA-Depto de Administración
Bogota, D.C. 00001
Colombia
(57-1)3208320 ext 3156 (Phone)
(57-1)3208320 ext 3169 (Fax)

HOME PAGE: http://www.javeriana.edu.co/decisiones/Julio

Edgardo Cayon Fallon

Colegio de Estudios Superiores de Administracion ( email )

Calle 35 No. 6-16
Bogota
Colombia

Daniel Villegas

Haywood Securities ( email )

Canada

Alejandro Hoyos

Pontificia Universidad Javeriana - Bogotá ( email )

KR 7 # 40-62, Carrera 7
Bogotá
Colombia

Juan David Altamar

Pontificia Universidad Javeriana ( email )

Cl 40 6-23
Bogota, CO Valle del Cauca 11001
Colombia

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