Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - 2013 - This version: November 2013
This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec-tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...