BBVA-ARIES: a forecasting and simulation model for EMU

Sonsoles Castillo and Fernando C. Ballabriga
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Sonsoles Castillo: Research Department, BBVA, Postal: Research Department, BBVA
Fernando C. Ballabriga: ESADE, Barcelona, Spain, Postal: ESADE, Barcelona, Spain

Journal of Forecasting, 2003, vol. 22, issue 5, 411-426

Abstract: This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU. Copyright © 2003 John Wiley & Sons, Ltd.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:22:y:2003:i:5:p:411-426

DOI: 10.1002/for.861

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