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/
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Guarín López, Alexandera0094b15-4b8b-41f6-bd73-886a3486954c500Filippini, Federico4d342fe0-c83e-41e5-b6c2-61a4c593181d500López Gaviria, José Ignaciovirtual::11318-1Rassa Robayo, Juan Sebastián46f93845-c03d-41b8-9151-0348bdfc1fe15002018-09-28T10:34:25Z2018-09-28T10:34:25Z2015http://hdl.handle.net/1992/13349u722108.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/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 forecastsMagíster en EconomíaMaestría24 hojasapplication/pdfengUniandesMaestría en EconomíaFacultad de Economíainstname:Universidad de los Andesreponame:Repositorio Institucional SénecaForecasting of macro aggregates using yield curve informationTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMFinanzas - Modelos econométricosMacroeconomía - Modelos econométricosPronóstico de la economía - Investigaciones - ColombiaEconomíaPublicationhttps://scholar.google.es/citations?user=YAEmW5AAAAAJvirtual::11318-10000-0002-8210-123Xvirtual::11318-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0001475309virtual::11318-19391c217-3e1a-439d-8c12-5537148a98bevirtual::11318-19391c217-3e1a-439d-8c12-5537148a98bevirtual::11318-1ORIGINALu722108.pdfapplication/pdf645967https://repositorio.uniandes.edu.co/bitstreams/1dbdaafc-0ff9-4351-a963-b1a72ed994ae/download01b1bf4f3365a4765955543d3b6488e2MD51TEXTu722108.pdf.txtu722108.pdf.txtExtracted texttext/plain55700https://repositorio.uniandes.edu.co/bitstreams/59a9c886-3681-4ffa-9215-b16ab4e2ff5d/download0e28235e575f95897aed70009c4190bfMD54THUMBNAILu722108.pdf.jpgu722108.pdf.jpgIM Thumbnailimage/jpeg11589https://repositorio.uniandes.edu.co/bitstreams/d2d94319-5817-4db1-b5a7-8967997629bf/download0b25fddfb8125bb18831868c7f58eb10MD551992/13349oai:repositorio.uniandes.edu.co:1992/133492024-03-13 14:24:17.224http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.es_CO.fl_str_mv Forecasting of macro aggregates using yield curve information
title Forecasting of macro aggregates using yield curve information
spellingShingle Forecasting of macro aggregates using yield curve information
Finanzas - Modelos econométricos
Macroeconomía - Modelos econométricos
Pronóstico de la economía - Investigaciones - Colombia
Economía
title_short Forecasting of macro aggregates using yield curve information
title_full Forecasting of macro aggregates using yield curve information
title_fullStr Forecasting of macro aggregates using yield curve information
title_full_unstemmed Forecasting of macro aggregates using yield curve information
title_sort Forecasting of macro aggregates using yield curve information
dc.creator.fl_str_mv Rassa Robayo, Juan Sebastián
dc.contributor.advisor.none.fl_str_mv Guarín López, Alexander
Filippini, Federico
López Gaviria, José Ignacio
dc.contributor.author.none.fl_str_mv Rassa Robayo, Juan Sebastián
dc.subject.keyword.es_CO.fl_str_mv Finanzas - Modelos econométricos
Macroeconomía - Modelos econométricos
Pronóstico de la economía - Investigaciones - Colombia
topic Finanzas - Modelos econométricos
Macroeconomía - Modelos econométricos
Pronóstico de la economía - Investigaciones - Colombia
Economía
dc.subject.themes.none.fl_str_mv Economía
description 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
publishDate 2015
dc.date.issued.none.fl_str_mv 2015
dc.date.accessioned.none.fl_str_mv 2018-09-28T10:34:25Z
dc.date.available.none.fl_str_mv 2018-09-28T10:34:25Z
dc.type.spa.fl_str_mv Trabajo de grado - Maestría
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dc.identifier.pdf.none.fl_str_mv u722108.pdf
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dc.format.extent.es_CO.fl_str_mv 24 hojas
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dc.publisher.es_CO.fl_str_mv Uniandes
dc.publisher.program.es_CO.fl_str_mv Maestría en Economía
dc.publisher.faculty.es_CO.fl_str_mv Facultad de Economía
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