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BVAR Forecasts of the World Economy

Author

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  • Artis, Michael J
  • Zhang, Wenda

Abstract

This paper provides forecasts derived from Bayesian vector autoregressive (BVAR) models for the output growth, inflation and balance of payments of the G-5 and G-7 countries. These forecasts are compared with those derived from alternative time series models and with those provided by the International Monetary Fund in its World Economic Outlook (WEO) over the period 1980-7, as well as with the out-turns. The importance of setting up a proper prior and the sensitivity of forecast performance to information are two issues addressed in the paper. The results suggest significant gains from the use of BVAR models; as a minimum, these models provide a highly effective standard of comparison for forecasts derived in more traditional ways.

Suggested Citation

  • Artis, Michael J & Zhang, Wenda, 1990. "BVAR Forecasts of the World Economy," CEPR Discussion Papers 380, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:380
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    Cited by:

    1. repec:zbw:bofrdp:1991_004 is not listed on IDEAS
    2. Starck, Christian, 1991. "Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland," Research Discussion Papers 4/1991, Bank of Finland.
    3. Sonsoles Castillo & Fernando C. Ballabriga, 2003. "BBVA-ARIES: a forecasting and simulation model for EMU," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 411-426.

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