Quotation Dovern, Jonas, Feldkircher, Martin, Huber, Florian. 2016. Does Joint Modeling of the World Economy Pay Off? Evaluating GVAR Forecasts from a Multivariate Perspective. Journal of Economic Dynamics & Control 70, 86-100.


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Abstract

We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms forecasts based on country-specific models. This performance is solely driven by superior predictions for the dependence structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains of the GVAR model are particularly pronounced during volatile periods and for emerging economies.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Economic Dynamics & Control
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, INF-A, STRAT-A, VW-B, WH-A
Language English
Title Does Joint Modeling of the World Economy Pay Off? Evaluating GVAR Forecasts from a Multivariate Perspective
Volume 70
Year 2016
Page from 86
Page to 100
Reviewed? Y
DOI http://dx.doi.org/10.1016/j.jedc.2016.06.006
JEL C53, E37, F47

Associations

People
Huber, Florian (Details)
External
Dovern, Jonas (Universität Heidelberg, Germany)
Feldkircher, Martin (Oesterreichische Nationalbank, Austria)
Organization
Institute for Macroeconomics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1145 Time series analysis (Details)
5300 Economics (Details)
5323 Econometrics (Details)
5371 Macroeconomics (Details)
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