EconPapers    
Economics at your fingertips  
 

Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors

Jesus Crespo Cuaresma (), Martin Feldkircher and Florian Huber

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vector autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast horizon for standard macroeconomic variables (real GDP, inflation, the real exchange rate and interest rates). Our results show that taking international linkages into account improves forecasts of inflation, real GDP and the real exchange rate, while for interest rates forecasts of univariate benchmark models remain difficult to beat. Our Bayesian version of the GVAR model outperforms forecasts of the standard cointegrated VAR for practically all variables and at both forecast horizons. The comparison of prior elicitation strategies indicates that the use of the stochastic search variable selection (SSVS) prior tends to improve out-of-sample predictions systematically. This finding is confirmed by density forecast measures, for which the predictive ability of the SSVS prior is the best among all priors entertained for all variables at all forecasting horizons.

Keywords: Forecasting; with; Bayesian; Global; Vector; Autoregressive; Models:; A; Comparison; of; Priors (search for similar items in EconPapers)
JEL-codes: C32 F44 E32 O54 (search for similar items in EconPapers)
Date: 2014-03-18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed

Downloads: (external link)
https://www.oenb.at/dam/jcr:a27bd5b7-6594-45d1-9f4 ... 207/WP189_screen.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://www.oenb.at/dam/jcr:a27bd5b7-6594-45d1-9f47-de9cee9f8207/WP189_screen.pdf [303 See Other]--> https://www.oenb.at/error_path/403.html?al_req_id=XX498et-NC7fmVV7hlc2DgAAALk)

Related works:
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:onb:oenbwp:189

Ordering information: This working paper can be ordered from
Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria

The price is The price is Free subject to availability..

Access Statistics for this paper

More papers in Working Papers from Oesterreichische Nationalbank (Austrian Central Bank) P.O. Box 61, A-1011 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Markus Knell and Helmut Stix ().

 
Page updated 2019-09-16
Handle: RePEc:onb:oenbwp:189