Economía - Seriadas

URI permanente para esta colecciónhttp://hdl.handle.net/10906/2349

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¿Crecer para exportar o exportar para crecer? El caso del Valle del Cauca.
(Universidad Icesi, 2005-03-01) Alonso Cifuentes, Julio César
This document investigates the validity of the export-led growth hypothesis using annual data for the Valle del Cauca (Colombia) from 1960 to 2000. No evidence is found to support the causal relation behind the export-led growth hypothesis. A VAR model that includes the regional output, the regional exports and, two control variables: national output and real exchange rate is employed. The results show a causal relation that goes from output to exports. The estimated impulse-response functions indicate that output in the Valle del Cauca generates a positive impact on exports while the opposite does not occur. The regional level results (Valle del Cauca) are consistent with the national level results (Colombia).
Integración espacial del mercado de la papa en el Valle del Cauca: dos aproximaciones diferentes, una misma conclusión
(Universidad Icesi, 2006-03-01) Alonso Cifuentes, Julio César
This paper analyses the potato market spatial integration for Valle del Cauca. We use weekly potato prices for the period 2003:52 – 2005:42. Traditional cointegration analysis has been applied as well as an innovative approach: dynamic co-movement. This new approach implies measures of time series cohesion (suggested by Croux, Forni and Reichlin (2001)). Results indicate spatial market integration for Valle del Cauca. The time series traditional methods also show that changes in Cali’s market prices precede changes in market prices of Armenia, Bogotá, Manizales and Pasto. This result supports the evidence that Cali acts as a central market. Furthermore, dynamic correlations are stronger in the long run than in relatively short periods of less than two and a half weeks.
Patrones del IGBC y Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para datos intra-día
(Universidad Icesi, 2009-09-01) Alonso Cifuentes, Julio César
This paper evaluate the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the return using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution. These exercise is performed for two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a GARCCH-M (1,1) with the hour-of-the-day effect. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.
¿Qué tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación con datos de alta frecuencia. Financial market and its patterns: a forecast evaluation with high frequency data
(Universidad Icesi, 2008-03-01) Alonso Cifuentes, Julio César
Using 18 different specifications of the GARCH-M model and high frequency data for the Colombian exchange market index (IGBC), we evaluate the out-of-sample performance of the models. The models considered take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts for each of the 18 models. Using different descriptive statistics and the Granger and Newbold (1976) test and the Diebold and Mariano (1995) test, we found that the best model would be the GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect.
Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos
(Universidad Icesi, 2006-08-01) Alonso Cifuentes, Julio César
This paper evaluates the performance of different parametric and semiparametric methods, as well as the historical simulation method, to estimate the nexttrading- day VaR of 7 representative portfolios for 7 different Latin American countries. It is found that there is not a single model that outperforms the others. For a 95% confident level, parametric models with EWMA and TGARCH specification to update the volatility outperforms the others. On the other hand, those models over-estimate the “true” VaR for a 99% confidence level.

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Examinando Economía - Seriadas por Autor "Alonso Cifuentes, Julio César"