Forecasting global recessions in a GVAR model of actual and expected output

Garratt, Anthony and Lee, Kevin and Shields, Kalvinder (2016) Forecasting global recessions in a GVAR model of actual and expected output. International Journal of Forecasting, 32 (2). pp. 374-390. ISSN 0169-2070

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Abstract

We compare a Global VAR model of actual and expected outputs with alternative models to assess the role of cross-country interdependencies and confidence in forecasting. Forecast performance is judged on point and density forecasts of growth, on probability forecasts of the occurrence of national and global recessionary events and, through a novel ‘fair bet’ exercise, on decision-making using probability forecasts. We find multi-country data and survey data are needed to fully capture the influence of global interactions and expectations in forecasts. We argue that output predictions should avoid simple point forecasts and focus on densities and events relevant to decision-makers.

Item Type: Article
Keywords: Cross-country interactions, Survey expectations, Probability Forecasts, Global and National Recession, Forecast evaluation
Schools/Departments: University of Nottingham UK Campus > Faculty of Social Sciences > School of Economics
Identification Number: https://doi.org/10.1016/j.ijforecast.2015.08.004
Depositing User: Kesaite, Viktorija
Date Deposited: 11 Sep 2015 12:31
Last Modified: 24 Sep 2016 00:00
URI: http://eprints.nottingham.ac.uk/id/eprint/29935

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