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ASEAN-5 Macroeconomic Forecasting Using a GVAR Model

Author

Listed:
  • Han, Fei

    () (University of California, Berkeley)

  • Hee Ng, Thiam

    () (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

  • Han, Fei & Hee Ng, Thiam, 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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    File URL: http://aric.adb.org/pdf/workingpaper/WP76_Han_ASEAN_5_Macroeconomic_Forecasting.pdf
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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. repec:eee:tefoso:v:126:y:2018:i:c:p:194-206 is not listed on IDEAS
    2. 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.

    More about this item

    Keywords

    Macroeconomic Forecasting; Global vector autoregressive model (GVAR); Southeast Asia;

    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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