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...
- 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
| Summary: | 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 the new index with indicators of uncertainty and estimate the impact of an uncertainty shock on the dynamics of macroeconomic and financial variables. |
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