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

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  • Garratt, Anthony
  • Lee, Kevin
  • Shields, Kalvinder

Abstract

We compare a Global VAR model of actual and expected outputs with alternative models for assessing the roles of cross-country interdependencies and confidence in forecasting. Forecast performances are 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 that multi-country and survey data are required in order to capture the influence of global interactions and expectations in forecasts fully. We argue that output predictions should avoid simple point forecasts and focus on densities and events that are relevant to decision-makers.

Suggested Citation

  • Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2016. "Forecasting global recessions in a GVAR model of actual and expected output," International Journal of Forecasting, Elsevier, vol. 32(2), pages 374-390.
  • Handle: RePEc:eee:intfor:v:32:y:2016:i:2:p:374-390
    DOI: 10.1016/j.ijforecast.2015.08.004
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    References listed on IDEAS

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    1. repec:eee:ecmode:v:67:y:2017:i:c:p:248-260 is not listed on IDEAS
    2. Samargandi, Nahla & Kutan, Ali M., 2016. "Private credit spillovers and economic growth: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 56-84.

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