Arbeitspapier
ASEAN-5 Macroeconomic Forecasting Using a GVAR Model
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: ADB Working Paper Series on Regional Economic Integration ; No. 76
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
- Thema
-
Macroeconomic Forecasting
Global vector autoregressive model (GVAR)
Southeast Asia
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Han, Fei
Hee Ng, Thiam
- Ereignis
-
Veröffentlichung
- (wer)
-
Asian Development Bank (ADB)
- (wo)
-
Manila
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Han, Fei
- Hee Ng, Thiam
- Asian Development Bank (ADB)
Entstanden
- 2011
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