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Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs

Rangan Gupta () and Xiaojin Sun

Economics Letters, 2020, vol. 186, issue C

Abstract: This paper utilizes the recently developed methods of compressing the parameters and the data for a high-dimensional vector autoregression (VAR) to forecast economic policy uncertainty (EPU) of Brazil, China, India and Russia (BRIC) based on EPUs of additional 18 developed and developing countries. In line with the recent literature on spillover of EPUs across countries, we show that incorporating information of EPUs of other countries does indeed produce gains in forecasting the EPU of the BRIC bloc, irrespective of whether we compress the parameters or the data.

Keywords: Economic policy uncertainty; VAR; Bayesian methods; BRIC countries (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 C55 E60 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303386

DOI: 10.1016/j.econlet.2019.108677

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