Non-Asset-Market Uncertainty

I propose a monthly index of non-asset-market uncertainty. The index is constructed through an approximate dynamic factor model with several main uncertainty indices as data. This strategy reduces extreme movements in the level of uncertainty, which is more appealing with theory. Likewise, I compare...

Full description

Autores:
Padilla Sepulveda, Juan Felipe
Tipo de recurso:
Trabajo de grado de pregrado
Fecha de publicación:
2020
Institución:
Universidad del Valle
Repositorio:
Repositorio Digital Univalle
Idioma:
spa
OAI Identifier:
oai:bibliotecadigital.univalle.edu.co:10893/18636
Acceso en línea:
https://hdl.handle.net/10893/18636
Palabra clave:
Incertidumbre
Riesgo de mercado
Riesgo (Economía)
Inversiones
Rights
openAccess
License
http://purl.org/coar/access_right/c_abf2