Arbeitspapier
Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms forecasts based on country-specific models. This performance is solely driven by superior predictions for the dependence structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains of the GVAR model are particularly pronounced during volatile periods and for emerging economies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series ; No. 590
- Klassifikation
-
Wirtschaft
- Thema
-
GVAR
global economy
forecast evaluation
log score
copula
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dovern, Jonas
Feldkircher, Martin
Huber , Florian
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Heidelberg, Department of Economics
- (wo)
-
Heidelberg
- (wann)
-
2015
- DOI
-
doi:10.11588/heidok.00018586
- Handle
- URN
-
urn:nbn:de:bsz:16-heidok-185864
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dovern, Jonas
- Feldkircher, Martin
- Huber , Florian
- University of Heidelberg, Department of Economics
Entstanden
- 2015
Ähnliche Objekte (12)
Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR
Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
Robust Evaluation of Multivariate Density Forecasts
Order Invariant Evaluation of Multivariate Density Forecasts
Estimating fundamental cross-section dispersion from fixed event forecasts
Estimating fundamental cross-section dispersion from fixed event forecasts
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Are they really rational? Assessing professional macro-economic forecasts from the G7-countries
Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7
Eliciting expectation uncertainty from private households
A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data
Predicting GDP components: do leading indicators increase predictability?
Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR
Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
Robust Evaluation of Multivariate Density Forecasts
Order Invariant Evaluation of Multivariate Density Forecasts
Estimating fundamental cross-section dispersion from fixed event forecasts
Estimating fundamental cross-section dispersion from fixed event forecasts
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Are they really rational? Assessing professional macro-economic forecasts from the G7-countries
Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7
Eliciting expectation uncertainty from private households
A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data
Predicting GDP components: do leading indicators increase predictability?
Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR
Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
Robust Evaluation of Multivariate Density Forecasts
Order Invariant Evaluation of Multivariate Density Forecasts
Estimating fundamental cross-section dispersion from fixed event forecasts
Estimating fundamental cross-section dispersion from fixed event forecasts
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Are they really rational? Assessing professional macro-economic forecasts from the G7-countries
Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7
Eliciting expectation uncertainty from private households
A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data