全球智库信息集成服务系统(G2TT): DP5278 Minorities and Storable Votes

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP5278
	DP5278 Minorities and Storable Votes
	Alessandra Casella; Raymond Riezman; Thomas R Palfrey
发表日期	2005-10-23
出版年	2005
语种	英语
摘要	In this paper we assess the possibility of producing unbiased forecasts for fiscal variables in the euro area by comparing a set of procedures that rely on different information sets and econometric techniques. In particular, we consider ARMA models, VARs, small scale semi-structural models at the national and euro area level, institutional forecasts (OECD), and pooling. Our small scale models are characterized by the joint modelling of fiscal and monetary policy using simple rules, combined with equations for the evolution of all the relevant fundamentals for the Maastricht Treaty and the Stability and Growth Pact. We rank models on the basis of their forecasting performance using the mean square and mean absolute error criteria at different horizons. Overall, simple time series methods and pooling work well and are able to deliver unbiased forecasts, or slightly upward biased forecast for the debt-GDP dynamics. This result is mostly due to the short sample available, the robustness of simple methods to structural breaks, and to the difficulty of modelling the joint behaviour of several variables in a period of substantial institutional and economic changes. A bootstrap experiment highlights that, even when the data are generated using the estimated small scale multi country model, simple time series models can produce more accurate forecasts, due to their parsimonious specification.
主题	International Macroeconomics
关键词	Fiscal forecasting Forecast comparison Fiscal rules Euro area
URL	https://cepr.org/publications/dp5278
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/534157
推荐引用方式 GB/T 7714	Alessandra Casella,Raymond Riezman,Thomas R Palfrey. DP5278 Minorities and Storable Votes. 2005.