Point and Density Forecasts for the Euro Area Using Bayesian VARs

Point and density forecasts for the euro area using Bayesian VARs

International Journal of Forecasting ◽

10.1016/j.ijforecast.2015.03.006 ◽

2015 ◽

Vol 31 (4) ◽

pp. 1067-1095 ◽

Cited By ~ 12

Author(s):

Tim O. Berg ◽

Steffen R. Henzel

Keyword(s):

Euro Area ◽

Density Forecasts ◽

Bayesian Vars

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Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence From Out-Of-Sample Forecasts Using Bayesian Vars

IMF Working Papers ◽

10.5089/9781451869156.001 ◽

2008 ◽

Vol 08 (53) ◽

pp. 1 ◽

Cited By ~ 3

Author(s):

Pär Österholm ◽

Helge Berger ◽

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Keyword(s):

Euro Area ◽

Money Growth ◽

Out Of Sample ◽

Bayesian Vars

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Macroeconomic uncertainty and forecasting macroeconomic aggregates

Studies in Nonlinear Dynamics & Econometrics ◽

10.1515/snde-2019-0073 ◽

2020 ◽

Vol 0 (0) ◽

Author(s):

Magnus Reif

Keyword(s):

Predictive Power ◽

Forecast Accuracy ◽

Real Economy ◽

Short Term ◽

Macroeconomic Uncertainty ◽

The Us ◽

Macroeconomic Time Series ◽

Density Forecasts ◽

Bayesian Vars ◽

High Uncertainty

AbstractCan information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic uncertainty in both linear and nonlinear Bayesian VARs. For the latter, I use a threshold VAR that allows for regime-dependent dynamics conditional on the level of the uncertainty measure. I find that the predictive power of macroeconomic uncertainty in the linear VAR is negligible. In contrast, using information on macroeconomic uncertainty in a threshold VAR can significantly improve the accuracy of short-term point and density forecasts, especially in the presence of high uncertainty.

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