Does joint modelling of the world economy pay off?

• Verfasst von: Dovern, Jonas [VerfasserIn]
• Verfasst von: Feldkircher, Martin [VerfasserIn]
• Verfasst von: Huber, Florian [VerfasserIn]
• Titel: Does joint modelling of the world economy pay off?
• Titelzusatz: evaluating global forecasts from a Bayesian GVAR
• Verf.angabe: Jonas Dovern, Martin Feldkircher, Florian Huber
• E-Jahr: 2016
• Jahr: 5 July 2016
• Umfang: 15 S.
• Fussnoten: Gesehen am 27.04.2020
• Titel Quelle: Enthalten in: Journal of economic dynamics & control
• Ort Quelle: Amsterdam : North-Holland Publ. Co., 1979
• Jahr Quelle: 2016
• Band/Heft Quelle: 70(2016), Seite 86-100
• ISSN Quelle: 0165-1889
• DOI: doi:10.1016/j.jedc.2016.06.006
• Datenträger: Online-Ressource
• Sprache: eng
• Sach-SW: Copula
• Sach-SW: Forecast evaluation
• Sach-SW: Global economy
• Sach-SW: GVAR
• Sach-SW: Log score
• K10plus-PPN: 1696138558

Abstract

We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms forecasts based on country-specific models. This performance is solely driven by superior predictions for the dependence structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains of the GVAR model are particularly pronounced during volatile periods and for emerging economies.