The Library
Forecasting global recessions in a GVAR model of actual and expected output
Tools
Garratt, Anthony, Lee, Kevin and Shields, Kalvinder K. (2016) Forecasting global recessions in a GVAR model of actual and expected output. International Journal of Forecasting, 32 (2). pp. 374-390. doi:10.1016/j.ijforecast.2015.08.004 ISSN 0169-2070.
|
PDF
WRAP_gvar_recession_forecasts_may_2015 2.pdf - Accepted Version - Requires a PDF viewer. Download (882Kb) | Preview |
|
Other (Acceptance email)
WRAP Deposit .msg Embargoed item. Restricted access to Repository staff only Download (1192Kb) |
Official URL: http://dx.doi.org/10.1016/j.ijforecast.2015.08.004
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.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Recessions -- Forecasting -- Research, Economic forecasting -- Canada -- France -- Germnay -- Italy -- Japan -- Great Britain -- United States, Economic policy, Macroeconomics | ||||||||
Journal or Publication Title: | International Journal of Forecasting | ||||||||
Publisher: | Elsevier | ||||||||
ISSN: | 0169-2070 | ||||||||
Official Date: | April 2016 | ||||||||
Dates: |
|
||||||||
Volume: | 32 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 374-390 | ||||||||
DOI: | 10.1016/j.ijforecast.2015.08.004 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 16 March 2016 | ||||||||
Date of first compliant Open Access: | 10 August 2017 |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year