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Forecasting Global Recessions in a GVAR Model of Actual and Expected Output in the G7

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  • Anthony Garratt
  • Kevin Lee
  • Kalvinder Shields

Abstract

The forecasting performance of a Global VAR model of actual and expected outputs in the G7 economies is compared with that of alternative models to judge the usefulness of modelling cross-country interdependencies and employing survey data. Both effects are found to be important in calculating density forecasts, in forecasting the occurrence of recessionary events deï¬ ned at the national and G7-wide levels and, through a novel 'fair bet' exercise, in decision-making based on forecasts. The analysis argues for a nuanced approach to presenting output predictions, avoiding simple point forecasts and focusing on features of future growth dynamics relevant to decision-makers.

Suggested Citation

  • Anthony Garratt & Kevin Lee & Kalvinder Shields, 2014. "Forecasting Global Recessions in a GVAR Model of Actual and Expected Output in the G7," Discussion Papers 2014/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    • Handle: RePEc:not:notcfc:14/06
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    File URL: https://www.nottingham.ac.uk/cfcm/documents/papers/cfcm-2014-06.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Liyan Han & Mengchao Qi & Libo Yin, 2016. "Macroeconomic policy uncertainty shocks on the Chinese economy: a GVAR analysis," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4907-4921, November.

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    Keywords

    Cross-country interactions; Survey expectations; Probability Forecasts; Global and National Recession; Forecast evaluation;
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