ibel123/bou-petroleum-fund-market-direction-model
Domain:
socioeconomicRecord type:
model
Creator:
ibe
Host:
A logistic regression model built in R that predicts monthly favorable or unfavorable market conditions for the Bank of Uganda, Petroleum Revenue Investment Reserve, using Bloomberg macroeconomic indicators from 1990 to 2024.
# Macro Market Direction Model
### Bank of Uganda, Petroleum Revenue Investment Reserve (PRIR)
**Author:** Ibaale Eric
**Data Period:** January 1990 to December 2024
**Language:** R (R Markdown)
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## Project Overview
This project builds a **Macro Market Direction Model** for the Bank of Uganda, Petroleum Revenue Investment Reserve. The fund holds a diversified portfolio made up of 40% Global Stocks, 30% Government Bonds, 20% Corporate Bonds, and 10% Emerging Market assets.
The model predicts, one month in advance, whether the next month will be **favorable** (portfolio return above historical median) or **unfavorable** (portfolio return at or below median). This is a binary classification problem solved using **logistic regression** in R.
The analysis draws on monthly macroeconomic and financial market data sourced from Bloomberg, covering major market regimes including the 2008 Global Financial Crisis, the 2020 COVID crash, and the 2022 inflation and rate hike cycle.
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## Live Report
The fully rendered interactive report is available at:
ibel123.github.io
## Repository Structure
```
bou-macro-market-model/
│
├── index.html # Main analysis file
├── Book1.xlsx # Bloomberg dataset (1990 to 2024)
└── README.md # This file
```
---
## Dataset Description
The Excel workbook `Book1.xlsx` contains 420 monthly observations spanning January 1990 to December 2024. The first six rows contain Bloomberg metadata and are skipped during loading. The 10 market indicators in the dataset are:
| Variable | Full Name | Role |
|---|---|---|
| VIX | CBOE Volatility Index | Market fear gauge |
| FDTR | Federal Funds Target Rate | US monetary policy |
| DXY | US Dollar Index | Dollar strength |
| USGG10YR | US 10-Year Treasury Yield | Global benchmark rate |
| MXEF | MSCI Emerging Markets Index | EM equity performance |
| SPX | S&P 500 Index | Glob …