Forecasting Global Flows
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Institute for Advanced Studies in its series Economics Series with number 214.
Length: 38 pages
Date of creation: Jul 2007
Date of revision:
Contact details of provider:
Postal: Stumpergasse 56, A-1060 Vienna, Austria
Phone: ++43 - (0)1 - 599 91 - 0
Fax: ++43 - (0)1 - 599 91 - 555
Web page: http://www.ihs.ac.at/index.php3?id=310
More information through EDIRC
Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria
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; Dynamic Treatment Effect Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-20 (All new papers)
- NEP-FOR-2007-07-20 (Forecasting)
- NEP-MAC-2007-07-20 (Macroeconomics)
- NEP-MON-2007-07-20 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- David Hendry & Michael Clements, 2001.
"Pooling of Forecasts,"
Economics Series Working Papers
2002-W09, University of Oxford, Department of Economics.
- Inoue, Atsushi & Kilian, Lutz, 2003.
"On the Selection of Forecasting Models,"
CEPR Discussion Papers
3809, C.E.P.R. Discussion Papers.
- Clements,Michael & Hendry,David, 1998.
"Forecasting Economic Time Series,"
Cambridge University Press, number 9780521634809, November.
- Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
- Massimiliano Marcellino & James Stock & Mark Watson, 2005.
"A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series,"
285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006. "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
- 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.
- Ben S. Bernanke & Mark Gertler & Mark Watson, 1997.
"Systematic Monetary Policy and the Effects of Oil Price Shocks,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 28(1), pages 91-157.
- 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.
- Mody, Ashoka & Murshid, Antu Panini, 2005.
"Growing up with capital flows,"
Journal of International Economics,
Elsevier, vol. 65(1), pages 249-266, January.
- James D. Hamilton, 2000.
"What is an Oil Shock?,"
NBER Working Papers
7755, National Bureau of Economic Research, Inc.
- Eswar S. Prasad & Jeffery A. Gable, 1998.
"International Evidence on the Determinants of Trade Dynamics,"
IMF Staff Papers,
Palgrave Macmillan, vol. 45(3), pages 401-439, September.
- Eswar Prasad & Jeffery A. Gable, 1997. "International Evidence on the Determinants of Trade Dynamics," IMF Working Papers 97/172, International Monetary Fund.
- 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.
- Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Doris Szoncsitz).
If references are entirely missing, you can add them using this form.