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El "IMACO": un índice mensual líder de la actividad económica en Colombia

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Author Info

  • Herman Kamil

    ()

  • Jose David Pulido

    ()

  • Jose Luis Torres

    ()

Abstract

En este trabajo se describe la construcción de un nuevo indicador mensual líder de la actividad económica en Colombia (IMACO). El procedimiento se basa en un algoritmo de búsqueda heurístico que identifica siete variables líderes del nivel de actividad, que anticipan los movimientos del PIB con cinco meses de adelanto y una correlación del 93%. Asimismo, el IMACO tiene otras propiedades predictivas deseables: anticipa los puntos de quiebre del ciclo económico colombiano sin arrojar señales falsas, y minimiza los errores de pronóstico sobre el crecimiento del PIB. Dada su simplicidad y bajo costo computacional, el IMACO provee una herramienta para el seguimiento continuo de la coyuntura y el diseño de la política económica, que puede ser replicado tanto para otros agregados macroeconómicos en Colombia así como en otros países de la región.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 609.

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Handle: RePEc:bdr:borrec:609

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Keywords: Índice líder; ciclo económico; componentes principales. Classification JEL: E23; E27; E37.;

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References

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  1. Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3108, C.E.P.R. Discussion Papers.
  2. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, Elsevier, vol. 132(1), pages 169-194, May.
  3. Lucrezia Reichlin & Mario Forni & Marc Hallin & Marco Lippi, 2001. "Coincident and leading indicators for the Euro area," ULB Institutional Repository 2013/10137, ULB -- Universite Libre de Bruxelles.
  4. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
  5. Victor Zarnowitz & Ataman Ozyildirim, 2001. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," Economics Program Working Papers, The Conference Board, Economics Program 01-03, The Conference Board, Economics Program.
  6. James H. Stock & Mark W. Watson, 1993. "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," NBER Chapters, National Bureau of Economic Research, Inc, in: Business Cycles, Indicators and Forecasting, pages 95-156 National Bureau of Economic Research, Inc.
  7. João Victor Issler & Hilton Hostalacio Notini & Claudia Fontoura Rodrigues, 2012. "Constructing coincident and leading indices of economic activity for the Brazilian economy," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2012(2), pages 43-65.
  8. Michael Pedersen, 2009. "Un indicador líder compuesto para la actividad económica en Chile," Monetaria, Centro de Estudios Monetarios Latinoamericanos, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 181-208, abril-jun.
  9. Luis Fernando Melo & Fabio H.Nieto & Carlos Esteban Posada & Yaneth Rocío Betancourt & Juan David Barón, . "Un Indice Coincidente para la Actividad Económica Colombiana," Borradores de Economia 195, Banco de la Republica de Colombia.
  10. Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  11. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  12. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number bry_71-1.
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Cited by:
  1. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," Borradores de Economia 724, Banco de la Republica de Colombia.
  2. Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," BORRADORES DE ECONOMIA 008328, BANCO DE LA REPÚBLICA.
  3. Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva Escobar & Fernando Tenjo Galarza, 2013. "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," BORRADORES DE ECONOMIA 010695, BANCO DE LA REPÚBLICA.
  4. Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas, 2014. "A Composite Indicator of Systemic Stress (CISS) for Colombia," Borradores de Economia 826, Banco de la Republica de Colombia.

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