Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121010
Authors: 
Skriner, Edith
Year of Publication: 
2008
Series/Report no.: 
FIW Working Paper 9
Abstract: 
The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a comovement among oil consumption and global output. Therefore, the aim of this study is to explain the development of this set of variables by ARs, small-scale VARs and ECMs. The lag length and the rank of the time series models have been determined using information criteria. Then one-step ahead forecasts have been generated. It was found, that the ARs generate the best forecasts at the beginning of the forecasting horizon. However, when the forecasting horizon increases the VARs outperform the ARs. Comparing the forecasting performance of the ECMs, it was found that the forecasting ability of the ECMs in first differences outperform the level based ECMs when the forecasting horizon increases.
Subjects: 
International Economics
Time Series Models
Forecasts
Forecast Evaluation
Global Flows
JEL: 
F17
C22
C5
Document Type: 
Working Paper

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