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BBVA-ARIES: a forecasting and simulation model for EMU

  • Sonsoles Castillo

    (Research Department, BBVA)

  • Fernando C. Ballabriga

    (ESADE, Barcelona, Spain)

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    This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU. Copyright © 2003 John Wiley & Sons, Ltd.

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    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 22 (2003)
    Issue (Month): 5 ()
    Pages: 411-426

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    Handle: RePEc:jof:jforec:v:22:y:2003:i:5:p:411-426
    DOI: 10.1002/for.861
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    1. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
    4. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    5. Luis J. Álvarez & Fernando C. Ballabriga, 1994. "BVAR models in the context of cointegration: A Monte Carlo experiment," Working Papers 9405, Banco de España;Working Papers Homepage.
    6. Artis, Michael J & Zhang, Wenda, 1990. "BVAR Forecasts of the World Economy," CEPR Discussion Papers 380, C.E.P.R. Discussion Papers.
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