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...
- 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/
Summary: | 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 the Bayesian VAR and the no-arbitrage representations are used to estimate closed economy, small open economy ancl macro-latent factor models. The parameters of the models are estimated with Bayesian techniques for different horizons using the predictive likelihood function. Monthly data between 2006-2012 of the inflation, the overnight-interbank interest rate, an economic activity indicator, the 10-year treasury rate and the 5-year CDS was used The main finding is that the out-of-sample forecasts of the interbank overnight interest rate and the inflation consistently improve when the yield curve is incorporated. Moreover, the models thnt irnpose the no-arbitrage restriction consistently out-perform the unrestrict.ed VARs. On the Other hant, the model wit,h the best. performance in terms of both the RMSE and the standard deviation of the forecasts incorporates closed-economy variables and the short-term yield. Adding longer-term yields and small open economy variables does not appear to improve further the forecasts |
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