Real-time conditional forecasts with Bayesian VARs: An application to New Zealand

Chris Bloor () and Troy Matheson ()

The North American Journal of Economics and Finance, 2011, vol. 22, issue 1, 26-42

Abstract: Abstract We develop a Bayesian VAR (BVAR) to produce conditional forecasts for the New Zealand economy. In a real-time out-of-sample forecasting exercise, we find that the BVAR outperforms a selection of other time series models, and it yields forecasts of similar accuracy to the forecasts produced internally at the Reserve Bank of New Zealand. Examining shock decompositions, we also highlight the importance of foreign shocks for the New Zealand economy. Our results suggest that the BVAR is a useful tool for policy making in real time.

Keywords: Bayesian; VAR; Conditional; forecasts; Real; time (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (41)

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Working Paper: Real-time conditional forecasts with Bayesian VARs: An application to New Zealand (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:22:y:2011:i:1:p:26-42

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