Análisis de cointegración con una aplicación al mercado de deuda en Estados Unidos, Canadá y México

Abstract: Certain theoretical aspects of vector autoregression (VAR) as tools to model economic time series are revised, in particular their capacity to include both short term and long term information. The VAR model, in its error correction form, is derived and the permanent-transitory decomposition of factors proposed by Gonzalo and Granger (1995) studied. An introductory exposition of estimation theory for reduced rank models, necessary to estimate the error correction model, is given. Cointegration analysis using the VAR model is carried out for government bond interest rates (short, medium and long term) of the United States, Mexico and Canada, with the objective of finding the long-term common factors that drive the system. The error correction model of this system is estimated using Johansen's method. Using this estimation the permanent-transitory decomposition of the system is calculated. Hypothesis tests are carried out on permanent factors to determine which of the nine rates studied drive the system.