Cambios no anticipados positivos y negativos de la tasa de interés de referencia y la rentabilidad del índice general de la Bolsa de Valores de Lima entre los años 2003 y 2019

Abstract

Since 2003, monetary policy decisions in Peru have been based on a benchmark for the interbank interest rate, which considers the conditions of the economy and is preemptively modified so that inflation is within a target range; this rate serves as a reference for all financial transactions in the Peruvian market. Several investigations have found a negative correlation between the non-anticipated component of the changes in that rate with the share prices and stock indices. Similarly, asymmetry was found in other markets between the effect of positive and negative non- anticipated changes in the benchmark interest rate in stock indices, however, no research was found to verify if this also happens on the Peruvian market. For this reason, a quantitative, explanatory, and non-experimental research approach was conducted using a non-probabilistic sample of data between September 2003 and December 2019 of the benchmark interest rate and the daily return of the S&P/BVL Peru General index. The results show the existence of statistically significant effects of both positive and negative non-anticipated changes in the benchmark interest rate, with the effect of positive non- anticipated changes being greater. Likewise, the result confirms at 95% confidence that both effects are different, in this way, a positive non-anticipated change of 1% of the reference interest rate would generate a 3.2% drop in the S&P/BVL Peru General index, while a negative non-anticipated change of 1%, an increase of 2.3%. These results could have an explanation in the Disposition Effect, based on the Pospect Theory developed by Kaheman and Tversky (1979).