esg var model

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var model:

factors:

usa:

• real gdp - (GDP/CPI)
• inflation ln(CPI)
• exchange rate - ln(esch )
  • short rate ln(1+R/100)
  • long rate ln(1+R/100)
  • stock rate (Index/CPI)?
  • money suplly ??
  • consumtion??
  • investments??
  • credit spread??
  • government borrowing (deficyt/dług?)

euro area

• real gdp - (GDP/CPI)
• inflation ln(CPI)
• exchange rate - ln(esch )
• short rate ln(1+R/100)
• long rate ln(1+R/100)
• stock rate (Index/CPI)?
• money suplly ??
• consumtion??
• investments??
• credit spread??
  • government borrowing (deficyt/dług?)

pln

• real gdp - (GDP/CPI)
• inflation ln(CPI)
• exchange rate - ln(esch )
• short rate ln(1+R/100)
• long rate ln(1+R/100)
• stock rate (Index/CPI)?
• money suplly ??
• unemployment
• consumtion??
• investments??
• credit spread
• credit spread??
  • government borrowing (deficyt/dług?)

Assets

• usa equity - price,dividend
• europe equity - price,dividend
• rest development equity - price,dividend
• emerging markets - price, dividend
• pl equity
• usa bond index (duration 1-30)
• ue bond index (duration -30)
• usa corporate bond
• ue corporate bond

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model var.docx

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ezegonous variables

• usd, eu endegonous variables:
• pln

usd i eu są modelowane odzielnie ale wtedy za duzo zmiennych dla okresu 2003 -2023

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bayesian var https://sciencespo.hal.science/hal-03458277/file/wp2018-18-bayesian-autoregressions-smiranda.pdf https://www.sciencedirect.com/science/article/pii/S0169207022000024#b39 Missing Disinflation and Missing Inflation: A VAR Perspective https://www.ijcb.org/journal/ijcb19q1a5.htm forecasting with bvar karlson https://www.oru.se/globalassets/oru-sv/institutioner/hh/workingpapers/workingpapers2012/wp-12-2012.pdf

Regime Switching Bayesian Vector Autoagression http://www.actuaries.org/AFIR/colloquia/Cairns/Harris.pdf

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns https://papers.ssrn.com/sol3/papers.cfm?abstract_id=582581

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1533525

PRIORS FOR THE LONG RUN https://faculty.wcas.northwestern.edu/gep575/plr5-1.pdf

A multivariate model of strategic asset allocation - cambel i veira https://scholar.harvard.edu/files/lviceira/files/a_multivariate_model_of_strategic_asset_allocation.pdf

Moments, shocks and spillovers in Markov-switching VAR models - (sotcks, bonds, tbills, dividend yeld) https://www.sciencedirect.com/science/article/pii/S0304407623001902

Advanced Time Series https://github.com/Stellenbosch-Econometrics/AdvancedTimeSeries-872?tab=readme-ov-file

Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information https://papers.ssrn.com/sol3/papers.cfm?abstract_id=905003

Megatrends and the U.S. economy, 1890-2040 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4702028

A New Identification Strategy for U.S. Monetary Policy Shocks: Estimates Since 1914 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4769252

LEARNING ABOUT THE LONG RUN https://www.nber.org/system/files/working_papers/w29495/w29495.pdf

A BAYESIAN APPROACH TO VECTOR AUTOREGRESSIVE MODEL ESTIMATION AND FORECASTING WITH UNBALANCED DATA SETS https://beri.iliauni.edu.ge/wp-content/uploads/2021/10/A-Bayesian-Approach-to-Vector-Autoregressive-Model-Estimation-and-Forecasting-with-Unbalanced-Data-Sets.pdf

Scenario Generation for IFRS9 Purposes using a Bayesian MS-VAR Model https://www.econstor.eu/bitstream/10419/247377/1/wp2021-10.pdf

ESTIMATING MULTI-COUNTRY VAR MODELS https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp603.pdf

Czytanie pymcs3 bvar macroeconomic var turing

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Internationl bvar model

• inflation pln

• inflation usd

• inflation eur

• real short rate pln

• real short rate usd

• real short rate eu

• real long rate pln

• real long rate usd

• real long rate pln

• us pln stocks price returns – pln short rate

• us usd stocks price returns – us short rate

• us stocks dividend yeld

• acwi ex-us pln stocks price returns – pln short rate

• WIG pln stocks price returns – pln short rate

• wig stocks dividend yeld

• stocks

• bond index excess returns

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Single country var:

• macro variables + stock index + bonds kalkulowane na podstawie interest rate
• assets risk premium, w tym bonds i macro data jako egzegonous variables
• macro variables + shiller, stocks na podstawie shiller,div i growth, bonds na podstawie stóp

Multicountry

• bvar bex macro factors
• single countries + residuals correlation
• multi country large bvar
• developed multicountry + poland single country z developed macrovator jako egsegonous variable

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Inny framework

Oszacuj required rate of return na podstawie irr Okresl optimal portfolio na krótki okres, np. 2 lata

POwtartzaj w okresie rebalancingu

Zrob symulacje

• testowamnie - error, confidance bands, czy wpisauja sie procesy, model accuracy
• testowanie – scenario lattice based on models

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Out of sample

• 10-5 year forecast - od 2006 (est od 1998 dla pln, albo 2001)

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est start | start | end | est lenght | forecast lenght -- | -- | -- | -- | -- 1998 | 2006 | 2023 | 8 | 17 1998 | 2008 | 2023 | 10 | 15 1998 | 2010 | 2023 | 12 | 13 1998 | 2012 | 2023 | 14 | 11 1998 | 2014 | 2023 | 16 | 9 1998 | 2016 | 2023 | 18 | 7 1998 | 2018 | 2023 | 20 | 5

wyniki foreacst erro | rok est | 1 rok forecast | 2 forecast | ... | |2006 | ..

lower bound | rok est | 1 rok forecast | 2 forecast | ... | |2006 | ..