Forecasting global recessions in a GVAR model of actual and expected output

B-Tier
Journal: International Journal of Forecasting
Year: 2016
Volume: 32
Issue: 2
Pages: 374-390

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We compare a Global VAR model of actual and expected outputs with alternative models for assessing the roles of cross-country interdependencies and confidence in forecasting. Forecast performances are judged on point and density forecasts of growth, on probability forecasts of the occurrence of national and global recessionary events, and, through a novel ‘fair bet’ exercise, on decision-making using probability forecasts. We find that multi-country and survey data are required in order to capture the influence of global interactions and expectations in forecasts fully. We argue that output predictions should avoid simple point forecasts and focus on densities and events that are relevant to decision-makers.

Technical Details

RePEc Handle
repec:eee:intfor:v:32:y:2016:i:2:p:374-390
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25