| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16994 |
| DP16994 Macroeconomic Forecasting in a Multi-country Context | |
| Yu Bai; Andrea Carriero; Todd Clark; Massimiliano Marcellino | |
| 发表日期 | 2022-02-02 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | In this paper we propose a hierarchical shrinkage approach for multi-country VAR models. In implementation, we consider three different scale mixtures of Normals priors — specifically, Horseshoe, Normal-Gamma, and Normal-Gamma-Gamma priors. We provide new theoretical results for the Normal-Gamma prior. Empirically, we use a quarterly data set for the G7 economies to examine how model specifications and prior choices affect the forecasting performance for GDP growth, inflation, and a short-term interest rate. We find that hierarchical shrinkage, particularly as implemented with the Horseshoe prior, is very useful in forecasting inflation. It also has the best density forecast performance for output growth and the interest rate. Adding foreign information yields benefits, as multi-country models generally improve on the forecast accuracy of single-country models. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Multi-country vars Macroeconomic forecasting Hierarchical shrinkage Scale mixtures of normals priors |
| URL | https://cepr.org/publications/dp16994 |
| 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/545940 |
| 推荐引用方式 GB/T 7714 | Yu Bai,Andrea Carriero,Todd Clark,et al. DP16994 Macroeconomic Forecasting in a Multi-country Context. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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