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Forecasting growth in eastern Europe and central Asia

Author

Listed:
  • Franziska Ohnsorge

    (IMF)

  • Yevgeniya

    (EBRD)

Abstract

Growth forecasts are at the heart of investment decisions and yet in emerging and developing markets they often receive limited support from quantitative models. This paper describes the main quantitative modelling techniques that have informed EBRD growth projections since 2009. The paper describes how bridge models use high-frequency data and the generalised dynamic factor model uses a vast body of cross-country data to nowcast growth. In addition, a Bayesian vector-autoregressive model is used to forecast growth under various scenarios. The paper includes a comparison between the forecasting performance of the model and that of economists, the latter working both at the EBRD and at other institutions.

Suggested Citation

  • Franziska Ohnsorge & Yevgeniya, 2011. "Forecasting growth in eastern Europe and central Asia," Working Papers 137, European Bank for Reconstruction and Development, Office of the Chief Economist.
    • Handle: RePEc:ebd:wpaper:137
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    More about this item

    Keywords

    nowcasting; forecasting; models; eastern Europe;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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