Forecasting of macro aggregates using yield curve information

This paper obtains the forecasts of Colombian macroeconomic variables and the yield curve by jointly modeling their dynamics. For this purpose, I use unrestricted Bayesian Vector Auto Regressive (VAR) models and the no-arbitrage state-space representation developed by Ang and Piazzesi [2003]. Both t...

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Autores:
Rassa Robayo, Juan Sebastián
Tipo de recurso:
Fecha de publicación:
2015
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/13349
Acceso en línea:
http://hdl.handle.net/1992/13349
Palabra clave:
Finanzas - Modelos econométricos
Macroeconomía - Modelos econométricos
Pronóstico de la economía - Investigaciones - Colombia
Economía
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/