Forecasting Global Flows

Edith Skriner
Additional contact information
Edith Skriner: Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria

No 214, Economics Series from Institute for Advanced Studies

Abstract: The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a co-movement among oil consumption and global output. Therefore, the aim of this study is to explain the development of this set of variables by ARs, small-scale VARs and ECMs. The lag length and the rank of the time series models have been determined using information criteria. Then one-step ahead forecasts have been generated. It was found, that the ARs generate the best forecasts at the beginning of the forecasting horizon. However, when the forecasting horizon increases the VARs outperform the ARs. Comparing the forecasting performance of the ECMs, it was found that the forecasting ability of the ECMs in first differences outperform the level based ECMs when the forecasting horizon increases.

Keywords: International economics; time series models; forecasts; forecast evaluation (search for similar items in EconPapers)
JEL-codes: F17 C22 C5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for, nep-mac and nep-mon
Date: 2007-07
View list of references

Downloads: (external link)
http://www.ihs.ac.at/publications/eco/es-214.pdf First version, 2007 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ihs:ihsesp:214

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies
Address: Stumpergasse 56, A-1060 Vienna, Austria
Contact information at EDIRC.
Series data maintained by Wolfgang Nessler ().