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.
Year of publication: |
2011-03-01
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Authors: | Han, Fei ; Hee Ng, Thiam |
Institutions: | Office of Regional Economic Integration, Asian Development Bank |
Subject: | Macroeconomic Forecasting | Global vector autoregressive model (GVAR) | Southeast Asia |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Working Papers on Regional Economic Integration Number 76 44 pages |
Classification: | E37 - Forecasting and Simulation ; F47 - Forecasting and Simulation |
Source: |
Persistent link: https://www.econbiz.de/10009142108
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