Does joint modelling of the world economy pay off?: evaluating global forecasts from a Bayesian GVAR
We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing the de...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
5 July 2016
|
| In: |
Journal of economic dynamics & control
Year: 2016, Jahrgang: 70, Pages: 86-100 |
| ISSN: | 0165-1889 |
| DOI: | 10.1016/j.jedc.2016.06.006 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1016/j.jedc.2016.06.006 Verlag, lizenzpflichtig, Volltext: http://www.sciencedirect.com/science/article/pii/S0165188916301051 
|
| Verfasserangaben: | Jonas Dovern, Martin Feldkircher, Florian Huber |
MARC
| LEADER | 00000caa a2200000 c 4500 | ||
|---|---|---|---|
| 001 | 1696138558 | ||
| 003 | DE-627 | ||
| 005 | 20220818053910.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 200427s2016 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1016/j.jedc.2016.06.006 |2 doi | |
| 035 | |a (DE-627)1696138558 | ||
| 035 | |a (DE-599)KXP1696138558 | ||
| 035 | |a (OCoLC)1341316926 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 084 | |a 17 |2 sdnb | ||
| 100 | 1 | |a Dovern, Jonas |d 1980- |e VerfasserIn |0 (DE-588)132157322 |0 (DE-627)518497739 |0 (DE-576)298976013 |4 aut | |
| 245 | 1 | 0 | |a Does joint modelling of the world economy pay off? |b evaluating global forecasts from a Bayesian GVAR |c Jonas Dovern, Martin Feldkircher, Florian Huber |
| 264 | 1 | |c 5 July 2016 | |
| 300 | |a 15 | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 500 | |a Gesehen am 27.04.2020 | ||
| 520 | |a We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR with SSVS prior and stochastic volatility. To analyze the source of performance gains, we decompose the predictive joint density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms forecasts based on country-specific models. This performance is solely driven by superior predictions for the dependence structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains of the GVAR model are particularly pronounced during volatile periods and for emerging economies. | ||
| 650 | 4 | |a Copula | |
| 650 | 4 | |a Forecast evaluation | |
| 650 | 4 | |a Global economy | |
| 650 | 4 | |a GVAR | |
| 650 | 4 | |a Log score | |
| 700 | 1 | |a Feldkircher, Martin |e VerfasserIn |0 (DE-588)128732466 |0 (DE-627)59448104X |0 (DE-576)17399203X |4 aut | |
| 700 | 1 | |a Huber, Florian |d 1987- |e VerfasserIn |0 (DE-588)1063074525 |0 (DE-627)809026910 |0 (DE-576)420409157 |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |t Journal of economic dynamics & control |d Amsterdam : North-Holland Publ. Co., 1979 |g 70(2016), Seite 86-100 |h Online-Ressource |w (DE-627)253781841 |w (DE-600)1460621-5 |w (DE-576)072794453 |x 0165-1889 |7 nnas |a Does joint modelling of the world economy pay off? evaluating global forecasts from a Bayesian GVAR |
| 773 | 1 | 8 | |g volume:70 |g year:2016 |g pages:86-100 |g extent:15 |a Does joint modelling of the world economy pay off? evaluating global forecasts from a Bayesian GVAR |
| 856 | 4 | 0 | |u https://doi.org/10.1016/j.jedc.2016.06.006 |x Verlag |x Resolving-System |z lizenzpflichtig |3 Volltext |
| 856 | 4 | 0 | |u http://www.sciencedirect.com/science/article/pii/S0165188916301051 |x Verlag |z lizenzpflichtig |3 Volltext |
| 951 | |a AR | ||
| 992 | |a 20200427 | ||
| 993 | |a Article | ||
| 994 | |a 2016 | ||
| 998 | |g 132157322 |a Dovern, Jonas |m 132157322:Dovern, Jonas |d 180000 |d 181000 |e 180000PD132157322 |e 181000PD132157322 |k 0/180000/ |k 1/180000/181000/ |p 1 |x j | ||
| 999 | |a KXP-PPN1696138558 |e 3636865935 | ||
| BIB | |a Y | ||
| SER | |a journal | ||
| JSO | |a {"relHost":[{"title":[{"title_sort":"Journal of economic dynamics & control","title":"Journal of economic dynamics & control"}],"part":{"extent":"15","year":"2016","volume":"70","text":"70(2016), Seite 86-100","pages":"86-100"},"language":["eng"],"disp":"Does joint modelling of the world economy pay off? evaluating global forecasts from a Bayesian GVARJournal of economic dynamics & control","type":{"bibl":"periodical","media":"Online-Ressource"},"physDesc":[{"extent":"Online-Ressource"}],"note":["Gesehen am 15.10.07"],"origin":[{"dateIssuedKey":"1979","publisherPlace":"Amsterdam","dateIssuedDisp":"1979-","publisher":"North-Holland Publ. Co."}],"id":{"zdb":["1460621-5"],"issn":["0165-1889"],"eki":["253781841"]},"pubHistory":["1.1979 -"],"recId":"253781841"}],"title":[{"title_sort":"Does joint modelling of the world economy pay off?","title":"Does joint modelling of the world economy pay off?","subtitle":"evaluating global forecasts from a Bayesian GVAR"}],"person":[{"display":"Dovern, Jonas","role":"aut","family":"Dovern","given":"Jonas"},{"role":"aut","display":"Feldkircher, Martin","given":"Martin","family":"Feldkircher"},{"family":"Huber","given":"Florian","display":"Huber, Florian","role":"aut"}],"physDesc":[{"extent":"15 S."}],"note":["Gesehen am 27.04.2020"],"origin":[{"dateIssuedDisp":"5 July 2016","dateIssuedKey":"2016"}],"id":{"eki":["1696138558"],"doi":["10.1016/j.jedc.2016.06.006"]},"recId":"1696138558","type":{"bibl":"article-journal","media":"Online-Ressource"},"name":{"displayForm":["Jonas Dovern, Martin Feldkircher, Florian Huber"]},"language":["eng"]} | ||
| SRT | |a DOVERNJONADOESJOINTM5201 | ||