US Equity Market Volatility Index Components, Impact on the Industrial Production Index and Post Covid-19 Forecasting: Relevance to Mexico

• Magnolia Miriam Sosa Castro ^[1] ; Edgar Ortiz Calisto ^[1] ; Alejandra Cabello-Rosales ^[1]
  1. [1] Universidad Nacional Autónoma de México

     Universidad Nacional Autónoma de México

     México

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 66, Nº. Extra 5, 2021 (Ejemplar dedicado a: lecciones de la pandemia de Covid-2019)
• Idioma: inglés
• DOI: 10.22201/fca.24488410e.2020.3457
• Títulos paralelos:
  • Componentes del índice de volatilidad del mercado de valores de EE. UU., impacto en el índice de producción industrial y pronóstico post Covid-19: Relevancia para México
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    El propósito de la presente investigación es analizar si las 42 categorías específicas de los rastreadores de volatilidad del mercado accionario (EMV) explican el índice de producción industrial (IPI) de Estados Unidos, incluyendo el impacto de la crisis Covid-19. Se pronostican los índices de producción industrial considerando tres escenarios de recuperación económica con el fin de la pandemia del Covid-19. Para alcanzar este propósito, primero se emplea una Red Neural Artificial para determinar si el rastreador categórico EMV explica la producción industrial. Una vez que tal proposición es comprobada, se utiliza un modelo ARIMA para pronosticar el índice de producción industrial de junio de 2021 a diciembre 2022.

    La motivación para esta investigación y su originalidad son los fuerte lazos económicos y financieros que prevalecen entre México y Estados Unidos. Las tendencias económicas de México, y en particular su recuperación económica está vinculada con el mejoramiento de la economía de Estados Unidos.

  • English

    This research aims to analyze whether the 42 category-specific Equity Market Volatility (EMV) trackers explain the US industrial production index (IPI) including the impact of the Covid-19 crisis. IPI values are forecasted, considering three scenarios of economic recuperation after the end of the Covid-19 pandemic. To achieve this purpose, first an Artificial Neural Network is employed to determine if the EMV categorical tracker elements explain Industrial Production. Once, the incidence of the EMV trackers on IPI is evidenced, an ARIMA model is used to forecast the Industrial Production Index from June 2021 to December 2022. Motivation for this research and its originality is the strong economic and financial links of the Mexican economy with the U.S. Economy. Current economic trends in Mexico, particularly its economic recovery partly linked to the U.S economic recovery

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