Forecasting global recessions in a GVAR model of actual and expected output
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...
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| Format: | Article |
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Elsevier
2016
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| Online Access: | https://eprints.nottingham.ac.uk/29935/ |
| _version_ | 1848793885128523776 |
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| author | Garratt, Anthony Lee, Kevin Shields, Kalvinder |
| author_facet | Garratt, Anthony Lee, Kevin Shields, Kalvinder |
| author_sort | Garratt, Anthony |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:07:24Z |
| format | Article |
| id | nottingham-29935 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:07:24Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-299352020-05-04T20:03:11Z https://eprints.nottingham.ac.uk/29935/ Forecasting global recessions in a GVAR model of actual and expected output Garratt, Anthony Lee, Kevin Shields, Kalvinder 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. Elsevier 2016-04 Article PeerReviewed Garratt, Anthony, 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 Cross-country interactions Survey expectations Probability Forecasts Global and National Recession Forecast evaluation http://www.sciencedirect.com/science/article/pii/S0169207015001223 doi:10.1016/j.ijforecast.2015.08.004 doi:10.1016/j.ijforecast.2015.08.004 |
| spellingShingle | Cross-country interactions Survey expectations Probability Forecasts Global and National Recession Forecast evaluation Garratt, Anthony Lee, Kevin Shields, Kalvinder Forecasting global recessions in a GVAR model of actual and expected output |
| title | Forecasting global recessions in a GVAR model of actual and expected output |
| title_full | Forecasting global recessions in a GVAR model of actual and expected output |
| title_fullStr | Forecasting global recessions in a GVAR model of actual and expected output |
| title_full_unstemmed | Forecasting global recessions in a GVAR model of actual and expected output |
| title_short | Forecasting global recessions in a GVAR model of actual and expected output |
| title_sort | forecasting global recessions in a gvar model of actual and expected output |
| topic | Cross-country interactions Survey expectations Probability Forecasts Global and National Recession Forecast evaluation |
| url | https://eprints.nottingham.ac.uk/29935/ https://eprints.nottingham.ac.uk/29935/ https://eprints.nottingham.ac.uk/29935/ |