El índice de desempeño macroeconómico en el Ecuador para el periodo 2001-2020. Cálculo y proyecciones bajo el análisis factorial dinámico

Abstract

The following article aims to estimate a synthetic Macroeconomic Performance Index (MPI) for Ecuadorian economy, using quarterly data of 23 variables for the 2001 to 2020 period. The proposal is developed based on the methodology of Dynamic Factor Analysis (DFA), in which the results reveal that the estimated index represents a valid measure to evaluate the macroeconomic performance of the country, due to the fact that it correctly captures the accelerations and decelerations that the economy has experienced during the analyzed period. In fact, it is observed that this indicator has a strong correlation with the year-on-year growth rate of the real Gross Domestic Product (GDP). Additionally, the results indicate that the most relevant variables in MPI’s determination are private consumption, gross fixed capital formation, demand deposits and the price of the barrel of oil. On the other hand, the changing regimes model of Markov-Switching detects three periods of recession in Ecuadorian economy, which are directly related to the global financial crisis, the international drop in oil prices and the COVID-19 pandemic. This model also indicates that the stages of expansion last more than the stages of contraction; however, the latter ones have a stronger effect in economy. Finally, MPI has been utilized to obtain a forecast of GDP’s growth in the next three years