ASEAN-5 Macroeconomic Forecasting Using a GVAR Model

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ADB Working Paper Series on Regional Economic Integration ; No. 76

Classification and Topics

• Classification: 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
• Subject: Macroeconomic Forecasting ; Global vector autoregressive model (GVAR) ; Southeast Asia

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Han, Fei ; Hee Ng, Thiam
• Event: Veröffentlichung
• (who): Asian Development Bank (ADB)
• (where): Manila
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/109578
• Last update: 10.03.2025, 11:42 AM CET