A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?
In this paper Francisco Corona, Graciela González-Farías and Pedro Orraca propose to use the common trends of the Mexican economy in order to predict economic activity one and two steps ahead. We exploit the cointegration properties of the macroeconomic time series, such that, when the series are I(1) and cointegrated, there is a factor representation, where
In this paper written by Juan Jose Echavarria and Mauricio Villamizar-Villegas, we use the largest exchange rate survey in Colombia to test for the rational expectations hypothesis, the presence of a time-varying risk premium and the accuracy of exchange rate forecasts. Our findings indicate that episodes of exchange rate appreciation preceded expectations of further appreciation