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

Garratt, Anthony; Lee, Kevin; Shields, Kalvinder

Authors

Anthony Garratt Anthony.Garratt@wbs.ac.uk

KEVIN LEE kevin.lee@nottingham.ac.uk
Professor of Economics

Kalvinder Shields k.shields@unimelb.edu.au



Abstract

We compare a Global VAR model of actual and expected outputs with alternative models to assess the role of cross-country interdependencies and confidence in forecasting. Forecast performance is 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 multi-country data and survey data are needed to fully capture the influence of global interactions and expectations in forecasts. We argue that output predictions should avoid simple point forecasts and focus on densities and events relevant to decision-makers.

Journal Article Type Article
Publication Date Apr 1, 2016
Journal International Journal of Forecasting
Print ISSN 0169-2070
Electronic ISSN 0169-2070
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 32
Issue 2
APA6 Citation Garratt, A., Lee, K., & Shields, K. (2016). Forecasting global recessions in a GVAR model of actual and expected output. International Journal of Forecasting, 32(2), doi:10.1016/j.ijforecast.2015.08.004
DOI https://doi.org/10.1016/j.ijforecast.2015.08.004
Keywords Cross-country interactions, Survey expectations, Probability Forecasts, Global and National Recession, Forecast evaluation
Publisher URL http://www.sciencedirect.com/science/article/pii/S0169207015001223
Copyright Statement Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc-nd/4.0

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Copyright Statement
Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc-nd/4.0





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