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ASEAN-5 Macroeconomic Forecasting Using a GVAR Model

Author

Listed:
  • Fei Han

    (University of California, Berkeley)

  • Thiam Hee Ng

    (Asian Development Bank)

Abstract

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.

Suggested Citation

  • Fei Han & Thiam Hee Ng, 2011. "ASEAN-5 Macroeconomic Forecasting Using a GVAR Model," Working Papers on Regional Economic Integration 76, Asian Development Bank.
    • Handle: RePEc:ris:adbrei:0076
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    References listed on IDEAS

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    1. Yap, Josef T. & Majuca, Ruperto P. & Park, Cyn-Young, 2010. "The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications," Discussion Papers DP 2010-11, Philippine Institute for Development Studies.
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    Cited by:

    1. Tan, Madeleine Sui-Lay, 2016. "Policy coordination among the ASEAN-5: A global VAR analysis," Journal of Asian Economics, Elsevier, vol. 44(C), pages 20-40.
    2. Guimbard, Houssein & Le Goff, Maëlan, 2014. "Mega Deals: What Consequences for sub-Saharan Africa?," Conference papers 332514, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    3. Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
    4. Lukman Oyeyinka Oyelami & P.A. Olomola, 2016. "External shocks and macroeconomic responses in Nigeria: A global VAR approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1239317-123, December.
    5. Bloem da Silveira Junior, Luiz A. & Vasconcellos, Eduardo & Vasconcellos Guedes, Liliana & Guedes, Luis Fernando A. & Costa, Renato Machado, 2018. "Technology roadmapping: A methodological proposition to refine Delphi results," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 194-206.
    6. Mr. Mauricio Vargas & Daniela Hess, 2019. "The Caribbean and its Linkages with the World: A GVAR Model Approach," IMF Working Papers 2019/256, International Monetary Fund.
    7. Quirapas, Mary Ann Joy Robles & Lin, Htet & Abundo, Michael Lochinvar Sim & Brahim, Sahara & Santos, Diane, 2015. "Ocean renewable energy in Southeast Asia: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 41(C), pages 799-817.
    8. Inoue,Tomoo & Kaya,Demet & Ohshige,Hitoshi, 2015. "The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model," Policy Research Working Paper Series 7442, The World Bank.
    9. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
    10. Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(3), pages 667-698, September.
    11. Dumrongrittikul, Taya & Anderson, Heather & Vahid, Farshid, 2019. "The global effects of productivity gains in Asian emerging economies," Economic Modelling, Elsevier, vol. 83(C), pages 127-140.
    12. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).

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    More about this item

    Keywords

    Macroeconomic Forecasting; Global vector autoregressive model (GVAR); Southeast Asia;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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