Real-Time Monitoring of U.S. Business Cycles via MFD-FM Methodology
Palabras clave:
Ciclos económicos, Nowcasting, Modelo de factores dinámicos, Datos de frecuencia mixta, Filtro de KalmanResumen
Monitoreo en Tiempo Real de los Ciclos Económicos de Estados Unidos mediante la Metodología MFD-FM
El objetivo de este estudio es desarrollar un esquema de monitoreo en tiempo real del ciclo económico de Estados Unidos mediante un Modelo de Factores Dinámicos de Frecuencias Mixtas (MFD-FM). La metodología integra el PIB trimestral con indicadores macroeconómicos mensuales (inflación (CPI), tasa de interés, índice de precios de vivienda (HPI) y tasa de participación laboral (LFPR)) en una formulación de espacio de estados estimada con el filtro de Kalman, a partir de la cual se obtiene un factor común representativo de la actividad económica agregada. Los resultados muestran que el factor captura los cambios cíclicos y anticipa episodios de contracción y recuperación asociados a shocks recientes. El enfoque puede emplearse como herramienta de vigilancia macroeconómica y apoyo a la toma de decisiones bajo incertidumbre. Como limitación, se requiere validación adicional bajo distintos conjuntos de variables y contextos nacionales, lo que implica potenciales ajustes por quiebres estructurales y disponibilidad de datos.
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