Inflation forecasting for aggregates of the EU-7 and EU-14 with Bayesian VAR models
✍ Scribed by J. A. Bikker
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 216 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0277-6693
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✦ Synopsis
This article applies the Bayesian Vector Auto-Regressive (BVAR) model to key economic aggregates of the EU-7, consisting of the former narrowband ERM members plus Austria, and the EU-14. This model appears to be useful as an additional forecasting tool besides structural macroeconomic models, as is shown both by absolute forecasting performance and by a comparison of ex-post BVAR forecasts with forecasts by the OECD. A comparison of the aggregate models to single-country models reveals that pooling has a strong impact on forecast errors. If forecast errors are interpreted as shocks, shocks appear to beÐat least in partÐ asymmetric, or countries react dierently to shocks.