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Estudios de economía

versión On-line ISSN 0718-5286

Estudios de Economía vol.48 no.2 Santiago jul. 2021

http://dx.doi.org/10.4067/S0718-52862021000200175 

Artículos

Relationship between country risk volatility and indices based on unstructured information

Relación entre volatilidad del riesgo país e índices basados en información no estructurada

Martín Llada1 

1Universidad de Buenos Aires. Facultad de Ciencias Económicas. Buenos Aires, Argentina

Abstract:

This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina’s country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One standard deviation increment in the indicator that captures manifestations of pessimism is followed by an increment of approximately 0.2% in expected country risk volatility in the consecutive quarter. Out-of-sample exercises confirm that these non-traditional indicators allow for gains in forecast accuracy. These findings are robust to changes in the set of predictors, the specification of the model and the incorporation of new media content.

Keywords: Macroeconomic forecasting; natural language processing; uncertainty; country risk volatility

Resumen:

Este trabajo evalúa si ciertos indicadores construidos a partir de información no estructural publicada en los periódicos contienen información útil respecto de la dinámica de la volatilidad del riesgo país de Argentina, la que es estimada a partir de un modelo GARCH(1,1). El análisis cubre el periodo 1998-2019. Se evidencia que un incremento de una desviación estándar en el indicador que captura manifestación de pesimismo anticipa, en promedio, un aumento de 0,2% en la volatilidad del riesgo país durante el trimestre subsiguiente. Un conjunto de ejercicios de pronóstico fuera de la muestra evidencia que los indicadores no tradicionales permiten mejorar la precisión del pronóstico. Estos resultados son robustos a cambios en el conjunto de regresores, la especificación del modelo y la incorporación de nuevos contenidos difundidos en la prensa.

Palabras clave: Pronósticos macroeconómicos; procesamiento del lenguaje natural; incertidumbre; volatilidad del riesgo país

Full text available only in PDF format.

Texto completo disponible sólo en PDF.

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Received: February 0, 2021; Accepted: June 0, 2021

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