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ASEAN-5 Macroeconomic Forecasting Using a GVAR Model


Author Info

  • Han, Fei

    (University of California, Berkeley)

  • Hee Ng, Thiam

    (Asian Development Bank)


This paper examines and evaluates macroeconomic forecasts for the original ASEAN-5 members in the context of a global vector autoregressive (GVAR) model covering 20 countries, grouped into nine countries/regions. After estimating the GVAR model, we generate 12 one-quarter-ahead forecasts for the next quarter including real GDP, inflation, short-term interest rates, real exchange rates, and real equity prices over the period 2009Q1–2011Q4, with four out-of-sample forecasts over the period 2009Q1–2009Q4. Forecast evaluation results based on the panel Diebold-Mariano (DM) tests show the GVAR forecasts tend to outperform forecasts based on the benchmark country-specific models, especially for short-term interest rates and real equity prices, emphasizing the interdependencies in the global financial market.

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Bibliographic Info

Paper provided by Asian Development Bank in its series Working Papers on Regional Economic Integration with number 76.

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Length: 44 pages
Date of creation: 01 Mar 2011
Date of revision:
Handle: RePEc:ris:adbrei:0076

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Related research

Keywords: Macroeconomic Forecasting; Global vector autoregressive model (GVAR); Southeast Asia;

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  1. Cyn-Young Park & Ruperto P. Majuca & Josef T. Yap, 2010. "The 2008 Financial Crisis and Potential Output in Asia : Impact and Policy Implications," Finance Working Papers 23101, East Asian Bureau of Economic Research.
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