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Indicador mensual de actividad econ�mica (IMAE) para el Valle del Cauca

Author

Listed:
  • Pavel Vidal Alejandro
  • Lya Paola Sierra Su�rez
  • Johana Sanabria Dominguez
  • Jaime Andres Collazos Rodr�guez

Abstract

En el presente trabajo se lleva a un contexto regional la metodolog�a de Stock y Watson (1991), usualmente aplicada en la construcci�n de indicadores de actividad econ�micas a nivel macroecon�mico. A partir de siete series hist�ricas claves del departamento del Valle del Cauca en Colombia, en el per�odo enero del 2000 a marzo de 2015, se construy� un indicador coincidente mensual de actividad econ�mica (IMAE). Para ello se estim�, mediante el filtro de Kalman, un factor com�n a todas las variables empleando la metodolog�a de los modelos factoriales din�micos. El factor com�n estimado se ajust� a los datos anuales del crecimiento del PIB y luego se suaviz� mediante un modelo estructural univariante de series temporales. Se obtiene as� un indicador mensual que permite disponer de informaci�n en tiempo real sobre el estado de la econom�a del departamento, el cual sigue un patr�n c�clico con una periodicidad promedio de cuatro a�os y 10 meses.

Suggested Citation

  • Pavel Vidal Alejandro & Lya Paola Sierra Su�rez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodr�guez, 2015. "Indicador mensual de actividad econ�mica (IMAE) para el Valle del Cauca," Borradores de Economia 13610, Banco de la Republica.
    • Handle: RePEc:col:000094:013610
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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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