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Forecasting Global Flows

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Author Info
Skriner, Edith (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)
Abstract

The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a co-movement among oil consumption and global output. Therefore, the aim of this study is to explain the development of this set of variables by ARs, small-scale VARs and ECMs. The lag length and the rank of the time series models have been determined using information criteria. Then one-step ahead forecasts have been generated. It was found, that the ARs generate the best forecasts at the beginning of the forecasting horizon. However, when the forecasting horizon increases the VARs outperform the ARs. Comparing the forecasting performance of the ECMs, it was found that the forecasting ability of the ECMs in first differences outperform the level based ECMs when the forecasting horizon increases.

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File URL: http://www.ihs.ac.at/publications/eco/es-214.pdf
File Format: application/pdf
File Function: First version, 2007
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Publisher Info
Paper provided by Institute for Advanced Studies in its series Economics Series with number 214.

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Length: 38 pages
Date of creation: Jul 2007
Date of revision:
Handle: RePEc:ihs:ihsesp:214

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Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria

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Related research
Keywords: International economics; time series models; forecasts; forecast evaluation;

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Find related papers by JEL classification:
F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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  1. Eswar S. Prasad & Jeffery A. Gable, 1998. "International Evidence on the Determinants of Trade Dynamics," IMF Staff Papers, Palgrave Macmillan Journals, vol. 45(3), pages 1. [Downloadable!] (restricted)
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  2. Bernanke, Ben S. & Gertler, Mark & Waston, Mark, 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks," Working Papers 97-25, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  3. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "Booms and slumps in world commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/8, Reserve Bank of New Zealand. [Downloadable!]
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  4. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426. [Downloadable!] (restricted)
  5. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June. [Downloadable!] (restricted)
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  6. Marcellino, Massimiliano & Stock, James H & Watson, Mark W, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  7. Ashoka Mody & Antu Panini Murshid, 2002. "Growing Up With Capital Flows," IMF Working Papers 02/75, International Monetary Fund. [Downloadable!]
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  8. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February. [Downloadable!] (restricted)
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  9. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April. [Downloadable!] (restricted)
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