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Monthly Financial and Economic Uncertainty Index (IMIFE) for the Colombian Economy

Author

Listed:
  • Juan Manuel Candelo-Viáfara

    (Universidad del Valle)

Abstract

This document develops an index that allows measuring the levels of uncertainty in the Colombian economy, which has been given the name of the IMIFE monthly index of financial and economic uncertainty. For this, the dynamic factors methodology was used using the historical ones of the international prices of oil, coal, gas, and the representative market rate of the peso per dollar (TRM). As relevant results, it is found that the index increased in times of economic crisis such as in 2008 (crisis suppressed) and 2020 (Covid-19). Likewise, an inverse behavior was identified between the value of the shares of Colombian companies and IMIFE; in addition to a negative impact of this index on the national economy. This index can be used by both economic policy makers, stock market investors, and organization managers.

Suggested Citation

  • Juan Manuel Candelo-Viáfara, 2021. "Monthly Financial and Economic Uncertainty Index (IMIFE) for the Colombian Economy," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 85-104, July-Dece.
    • Handle: RePEc:lde:journl:y:2021:i:95:p:85-104
    DOI: 10.17533/udea.le.n95a343318
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    References listed on IDEAS

    as
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    2. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
    3. Laura Xiaolei Liu & Lu Zhang, 2008. "Momentum Profits, Factor Pricing, and Macroeconomic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2417-2448, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Uncertainty; index; colombian economy; dynamic factors; energy raw materials; exchange rate;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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