ASEAN-5 Macroeconomic Forecasting Using a GVAR Model

Fei Han and Thiam Ng

No 76, Working Papers on Regional Economic Integration from Asian Development Bank

Abstract: This paper examines and evaluates macroeconomic forecasts for the original ASEAN-5 members in the context of a global vector autoregressive (GVAR) model covering 20 countries, grouped into nine countries/regions. After estimating the GVAR model, we generate 12 one-quarter-ahead forecasts for the next quarter including real GDP, inflation, short-term interest rates, real exchange rates, and real equity prices over the period 2009Q1–2011Q4, with four out-of-sample forecasts over the period 2009Q1–2009Q4. Forecast evaluation results based on the panel Diebold-Mariano (DM) tests show the GVAR forecasts tend to outperform forecasts based on the benchmark country-specific models, especially for short-term interest rates and real equity prices, emphasizing the interdependencies in the global financial market.

Keywords: Macroeconomic Forecasting; Global vector autoregressive model (GVAR); Southeast Asia (search for similar items in EconPapers)
JEL-codes: E37 F47 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2011-03-01
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Citations: View citations in EconPapers (12)

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