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.
BibTeX
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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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 (Former researcher)
- External
- Dovern, Jonas (Universität Heidelberg, Germany)
- Feldkircher, Martin (Oesterreichische Nationalbank, Austria)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1145 Time series analysis (Details)
- 5300 Economics (Details)
- 5323 Econometrics (Details)
- 5371 Macroeconomics (Details)