Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238096 
Year of Publication: 
2021
Series/Report no.: 
Graduate Institute of International and Development Studies Working Paper No. HEIDWP05-2021
Publisher: 
Graduate Institute of International and Development Studies, Geneva
Abstract: 
In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with steady-state prior and compare the accuracy of the forecasts against the forecasts of QPM model and official NBU forecasts over the period 2016q1-2020q1. My findings suggest that inflation forecasts produced by the BVAR model are more accurate than those of the QPM model two quarters ahead and are competitive for the longer horizon. For GDP growth, the forecasts of the BVAR outperform those of the QPM for the whole forecast horizon. For inflation they also outperform the official NBU forecasts over the monetary policy horizon, whereas the opposite is true for the forecasts of the GDP growth.
Subjects: 
BVAR
forecast evaluation
inflation forecasting
JEL: 
C30
C53
E37
Document Type: 
Working Paper

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