Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/109578 
Year of Publication: 
2011
Series/Report no.: 
ADB Working Paper Series on Regional Economic Integration No. 76
Publisher: 
Asian Development Bank (ADB), Manila
Abstract: 
This paper examines and evaluates macroeconomic forecasts for the original ASEAN-5 members in the context of a global vector autoregressive (GVAR) model covering 20 countries, grouped into nine countries/regions. After estimating the GVAR model, we generate 12 one-quarter-ahead forecasts for the next quarter including real GDP, inflation, short-term interest rates, real exchange rates, and real equity prices over the period 2009Q1–2011Q4, with four out-of-sample forecasts over the period 2009Q1–2009Q4. Forecast evaluation results based on the panel Diebold-Mariano (DM) tests show the GVAR forecasts tend to outperform forecasts based on the benchmark country-specific models, especially for short-term interest rates and real equity prices, emphasizing the interdependencies in the global financial market.
Subjects: 
Macroeconomic Forecasting
Global vector autoregressive model (GVAR)
Southeast Asia
JEL: 
E37
F47
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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