A Bayesian VAR benchmark for COMPASS
Sílvia Domit (),
Francesca Monti () and
Andrej Sokol ()
Additional contact information
Sílvia Domit: Bank of England, Postal: Publications Group Bank of England Threadneedle Street London EC2R 8AH
No 583, Bank of England working papers from Bank of England
We estimate a Bayesian VAR analogue to the Bank of England’s DSGE model (COMPASS) and assess their relative performance in forecasting GDP growth and CPI inflation in real time between 2000 and 2012. We find that the BVAR outperformed COMPASS when forecasting both GDP and its expenditure components. In contrast, the performance of these models was similar when forecasting CPI. We also find that, despite underpredicting inflation at most forecast horizons, the BVAR density forecasts outperformed those of COMPASS. Both models overpredicted GDP growth at all forecast horizons, but the BVAR outperformed COMPASS at forecast horizons up to one year ahead. The BVAR’s point and density forecast performance is also comparable to that of a Bank of England in-house statistical suite for both GDP and CPI inflation and to the Inflation Report projections. Our results are broadly consistent with the findings of similar studies for other advanced economies.
Keywords: Forecasting; Bayesian VARs; macro-modelling (search for similar items in EconPapers)
JEL-codes: C53 E12 E17 (search for similar items in EconPapers)
Pages: 20 pages
New Economics Papers: this item is included in nep-ets, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
https://www.bankofengland.co.uk/-/media/boe/files/ ... C923BE011E0F71BBE9B5 Full text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0583
Access Statistics for this paper
More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team ().