Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections

Arbeitspapier

The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of policy relevant variables such as, for example, consumer prices and GDP. The forecasting accuracy and the ability to mimic the path of the Eurosystem projections suggest that the model is a valid benchmark to assess the consistency of the projections with the conditional assumptions. As such, the BVAR can be used to identify possible sources of judgement, based on the gaps between the Eurosystem projections and the historical regularities captured by the model.

Object Details

• ISBN: 978-92-899-3489-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2227

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Subject: Multi-country model ; cross-checking ; conditional forecast ; euro area

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Angelini, Elena ; Lalik, Magdalena ; Lenza, Michele ; Paredes, Joan
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2019

Further information

• DOI: doi:10.2866/028355
• Handle: http://hdl.handle.net/10419/208261
• Last update: 10.03.2025, 11:43 AM CET