Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238096 
Autor:innen: 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Graduate Institute of International and Development Studies Working Paper No. HEIDWP05-2021
Verlag: 
Graduate Institute of International and Development Studies, Geneva
Zusammenfassung: 
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.
Schlagwörter: 
BVAR
forecast evaluation
inflation forecasting
JEL: 
C30
C53
E37
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.