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

Garratt, Anthony; Lee, Kevin; Shields, Kalvinder

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.

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), https://doi.org/10.1016/j.ijforecast.2015.08.004

• Journal Article Type: Article
• Acceptance Date: Aug 15, 2015
• Online Publication Date: Jan 26, 2016
• Publication Date: Apr 1, 2016
• Deposit Date: Sep 11, 2015
• Publicly Available Date: Jan 26, 2016
• Journal: International Journal of Forecasting
• Print ISSN: 0169-2070
• Electronic ISSN: 0169-2070
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 32
• Issue: 2
• 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
• Public URL: https://nottingham-repository.worktribe.com/output/977362
• Publisher URL: http://www.sciencedirect.com/science/article/pii/S0169207015001223