Inversión en TES : una recomendación desde el análisis macroeconómico colombiano

Abstract

This work analyzes the relationship between macroeconomic variables and the profitability of Treasury Bonds (TES) in Colombia. An empirical approach based on the Vector Autoregressive (VAR) methodology is used to examine this relationship. Based on the literature review, it is identified that macroeconomic variables such as interest rate, Gross Domestic Product (GDP), and Consumer Price Index (CPI) can directly or inversely affect the profitability of TES. The proposed methodology is based on a VAR model that considers TES yield as the dependent variable and GDP, inflation, and interest rate as independent variables. Official data sources such as the National Administrative Department of Statistics (DANE), the Central Bank of Colombia, and the Colombian Stock Exchange (BVC) are used. The results of the statistical analysis indicate that the interest rate, GDP, and CPI have a direct and significant relationship with the profitability of TES, implying that an increase in these variables can lead to an increase in bond profitability. Furthermore, it is found that the lagged CPI with a two-month delay do not have a significant relationship with TES profitability. The findings are consistent with previous research and supported by the Fisher expectations model. The results have important implications for investors and the Colombian government, enabling informed decision-making and adjustments to economic policy. The work proposes a robust methodology and utilizes appropriate statistical analysis to address the relationship between the variables under study.