Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR

Jonas Dovern, Martin Feldkircher and Florian Huber

Journal of Economic Dynamics and Control, 2016, vol. 70, issue C, 86-100

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.

Keywords: GVAR; Global economy; Forecast evaluation; Log score; Copula (search for similar items in EconPapers)
JEL-codes: C53 E37 F47 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188916301051
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR (2015)
Working Paper: Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR (2015)
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: https://EconPapers.repec.org/RePEc:eee:dyncon:v:70:y:2016:i:c:p:86-100

DOI: 10.1016/j.jedc.2016.06.006

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().