Jump to ContentJump to Main Navigation
The GVAR HandbookStructure and Applications of a Macro Model of the Global Economy for Policy Analysis$
Users without a subscription are not able to see the full content.

Filippo di Mauro and M. Hashem Pesaran

Print publication date: 2013

Print ISBN-13: 9780199670086

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199670086.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 20 January 2019

Using global VAR models for scenario-based forecasting and policy analysis

Using global VAR models for scenario-based forecasting and policy analysis

(p.97) 7 Using global VAR models for scenario-based forecasting and policy analysis
The GVAR Handbook

Greenwood-Nimmo Matthew

Nguyen Viet Hoang

Shin Yongcheol

Oxford University Press

This chapter demonstrates the usefulness of the GVAR modelling framework as a tool for scenario-based forecasting and counterfactual analysis. Working with the GVAR model developed by Greenwood-Nimmo, Nguyen and Shin (2010, J. Appl. Econometrics), we first show how probabilistic forecasting can be applied to the analysis of global imbalances. Probabilistic forecasting involves evaluating the conditional probability that a given event or combination of events will occur over a defined horizon by means of model-based simulations. To illustrate the usefulness of this approach, we develop a simple four-way probabilistic classificatory system built around the notions of balancing improvement in the trade balance, unbalancing improvement, balancing deterioration and unbalancing deterioration. We then extend a similar approach in a counterfactual context by constructing a range of scenarios as linear combinations of generalised impulse responses. We conclude that GVAR models are particularly well-suited to scenario-based analyses such as ours as they have the potential to analyse singularly rich datasets that allow the modeller to construct a wide range of policy-relevant scenarios.

Keywords:   global VAR, scenario-based forecasting and analysis, global imbalances

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .