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Var Forecasting Models Of The Australian Economy
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Book Synopsis VAR Forecasting Models of the Australian Economy by : Robert G. Trevor
Download or read book VAR Forecasting Models of the Australian Economy written by Robert G. Trevor and published by . This book was released on 1988 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Australian Economic Activity Using Leading Indicators by : Andrea Brischetto
Download or read book Forecasting Australian Economic Activity Using Leading Indicators written by Andrea Brischetto and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the contribution leading indicators can make to forecasting measures of real activity in Australia. In a policy context, we are interested in forecasting the levels or growth of policy relevant variables throughout the cycle. We are less interested in forecasting turning points in the cycle or in forecasting coincident indices, which are subjectively defined overall measures of economic activity. This gives us a different focus to much of the recent work done in this area. We use a simple forecasting framework (bivariate VARs) to compare the Westpac-Melbourne Institute (WM), NATSTAT and ABS leading indices' predictive performance for real GDP, employment and unemployment in Australia. Within sample we find all three indices help predict all of the activity variables, although with varying leads. Out of sample evidence, however, is weaker. Within our framework, we only find evidence in favour of the WM index when used to forecast GDP. Otherwise, the indices do not make any substantive contribution to forecast quality. To gauge the usefulness of the simple bivariate VAR models, we compare the out of sample forecasts of GDP, using the WM index, to those from a single equation structural model due to Gruen and Shuetrim (1994). Over a forecasting sample of relatively stable growth, the WM index model performs quite well relative to the Gruen and Shuetrim model. Over a longer forecasting sample period, one which includes the downturn in the early 1990s, there is some evidence that the WM index model performs relatively poorly.
Book Synopsis Towards a Structural VAR Model of the Australian Economy by : Mardi Dungey
Download or read book Towards a Structural VAR Model of the Australian Economy written by Mardi Dungey and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Real-time Forecasting of the Australian Macroeconomy Using Flexible Bayesian VARs by : Bo Zhang
Download or read book Real-time Forecasting of the Australian Macroeconomy Using Flexible Bayesian VARs written by Bo Zhang and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Australian Macroeconomic Variables Using a Large Dataset by : Sarantis Tsiaplias
Download or read book Forecasting Australian Macroeconomic Variables Using a Large Dataset written by Sarantis Tsiaplias and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite forecasts, and forecasts derived from individual forecasting models. The results suggest that diffusion index forecasts tend to improve on the benchmark AR forecasts. We also observe that weighted factors tend to produce better forecasts than their unweighted counterparts. We find, however, that the size of the forecasting improvement is less marked than previous research, with the diffusion index forecasts typically producing mean square errors of a similar magnitude to the VAR and BVAR approaches.
Book Synopsis Three Applications of Time-varying Parameter and Stochastic Volatility Models to the Malaysian and Australian Economy by : Aubrey Poon
Download or read book Three Applications of Time-varying Parameter and Stochastic Volatility Models to the Malaysian and Australian Economy written by Aubrey Poon and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the introductory chapter, this thesis comprises of three chapters that examines the application of time-varying parameter and stochastic volatility models to the Malaysian and Australian economy. Chapter 2 aims to determine whether the propagation and transmission mechanism of Malaysian monetary policy differed during the Asian Financial Crisis of 1997/98 and the Global Financial Crisis of 2007/08. The methodology employs a time-varying vector-autoregression framework. The primary result is that despite having no evidence of time-variation in the propagation mechanism of Malaysian monetary policy the average contribution of a monetary policy shock to the variability of each macroeconomic variable-Real GDP, Inflation and the Nominal Effective Exchange Rate-differs between the two crises. This finding suggests that despite the propagation mechanism being relatively constant, Malaysia's monetary policy transmission mechanism evolves over time. We believe that the main mechanism driving this evolution is the time-variation in the variance-covariance matrix of the shocks of the model, not the coefficients. We also find some evidence that the implementation of capital controls reduced the influenceability of monetary policy on the Malaysian economy. Chapter 3 investigates whether incorporating time variation and fat-tails into a suite of popular univariate and multivariate Gaussian distributed models can improve the forecast performance of key Australian macroeconomic variables: real GDP growth, CPI inflation and a short-term interest rate. The forecast period is from 1992Q1 to 2014Q4, thus replicating the central banks forecasting responsibilities since adopting inflation targeting. We show that time varying parameters and stochastic volatility with Student's-t error distribution are important modeling features of the data. More specifically, a vector autoregression with the proposed features provides the best interest and inflation forecasts over the entire sample. Remarkably, the full sample results show that a simple rolling window autoregressive model with Student's-t errors provides the most accurate GDP forecasts. Chapter 4 estimates a time-varying parameter Panel Bayesian vector autoregression with a new feature: a common stochastic volatility factor in the error structure, to assess the synchronicity and the nature of Australian State business cycles. The common stochastic volatility factor reveals that macroeconomic volatility or uncertainty was more pronounced during the Asian Financial Crisis as compared to the more recent Global Financial Crisis. Next, the Panel VAR's common, regional and variable specific indicators capture several interesting economic facts. In the first instance, the fluctuations of the common indicator closely follow the trend line of the Organisation for Economic Co-operation and Development composite leading indicators for Australia making it a good proxy for nationwide business cycle fluctuations. Next, despite significant co-movements of Australian States and Territory business cycles during times of economic contractions, the regional indicators suggest that the average degree of synchronisation across the Australian States and Territories cycles in the 2000s is only half of that presented in the 1990s. Given that aggregate macroeconomic activity is determined by cumulative activity of each of the nation states, the results suggests that the Federal Government should award state governments greater autonomy in handling state specific cyclical fluctuations.
Book Synopsis Forecasting Australian Macroeconomic Variables Using a Large Dataset by : Sarantis Tsiaplias
Download or read book Forecasting Australian Macroeconomic Variables Using a Large Dataset written by Sarantis Tsiaplias and published by . This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite forecasts, and forecasts derived from individual forecasting models. The results suggest that diffusion index forecasts tend to improve on the benchmark AR forecasts. We also observe that weighted factors tend to produce better forecasts than their unweighted counterparts. We find, however, that the size of the forecasting improvement is less marked than previous research, with the diffusion index forecasts typically producing mean square errors of a similar magnitude to the VAR and BVAR approaches." -- t.p. verso.
Book Synopsis Macroeconomic Fluctuations in the Australian Economy by : Jeremy Smith
Download or read book Macroeconomic Fluctuations in the Australian Economy written by Jeremy Smith and published by . This book was released on 1991 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Small BVAR-DSGE Model for Forecasting the Australian Economy by : Andrew Hodge
Download or read book A Small BVAR-DSGE Model for Forecasting the Australian Economy written by Andrew Hodge and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates a small structural model of the Australian economy, designed principally for forecasting the key macroeconomic variables of output growth, underlying inflation and the cash rate. In contrast to models with purely statistical foundations, which are often used for forecasting, the Bayesian Vector Autoregressive Dynamic Stochastic General Equilibrium (BVAR-DSGE) model uses the theoretical information of a DSGE model to offset in-sample over-fitting. We follow the method of Del Negro and Schorfheide (2004) and use a variant of the small open economy DSGE model of Lubik and Schorfheide (2007) to provide prior information for the VAR. The forecasting performance of the model is competitive with benchmark models such as a Minnesota VAR and an independently estimated DSGE model.
Book Synopsis Forecasting Inflation and Real GDP by : Jason K. Wong
Download or read book Forecasting Inflation and Real GDP written by Jason K. Wong and published by . This book was released on 1993 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Economic and Policy Time Variations in Small Open Economies by : Jamie Lee Cross
Download or read book Essays on Economic and Policy Time Variations in Small Open Economies written by Jamie Lee Cross and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of four research papers. The first three papers explore the prevalence and significance of time variation within the Australian economy. The final paper is distinct in that it analyzes the effects of economic and policy uncertainty on the Canadian economy. In the first paper (Chapter 2), I address recent concerns that Australian monetary policy is currently less effective than in the past. To investigate this hypothesis, I estimate a time varying structural vector autoregression (SVAR) model. The main result is that monetary policy effectiveness has increased over the sample period, with little evidence to support the claim of a weaker transmission mechanism since the 2007/08 global financial crisis. In the second paper (Chapter 3 - joint with Aubrey Poon), we build on the results in the first paper by investigating the forecasting properties of Gaussian and Student's-t distributed classes of time varying autoregressive models when predicting Australian macroeconomic variables. The main result is that time varying parameters, stochastic volatility and the Student's-t error distribution are all important modeling features of the data. More specifically, a VAR model with the proposed features provides the best inflation and interest rate forecasts over the entire sample. Surprisingly, a simple rolling window autoregressive model provides the best real GDP growth forecasts. In the third paper (Chapter 4 - joint with Aubrey Poon), we build on the results in the first two papers, by quantifying the impacts of international shocks in driving Australian business cycle fluctuations. Our methodology builds on classes of Gaussian and Student's-t distributed, time varying panel VAR models, by proposing a fat-tailed common stochastic volatility factor. We find an important asymmetry in the effects of international shocks, with around 47 percent of negative and 68 percent of positive fluctuations resulting from foreign disturbances. More generally, international shocks have contributed to around half of all Australian business cycle fluctuations over the past two decades. The fourth paper (Chapter 5 - joint with Aubrey Poon, Joshua Chan and Timothy Kam), deviates from the first three papers in that it uses Canadian data. Our objective is to quantify the impacts of uncertainty shocks to the business cycle fluctuations of a small open economy. Using a Bayesian-estimated structural model, we quantify which time-varying risk - in domestic demand or supply conditions, in domestic monetary or fiscal policy, or, in international economic and policy spillovers factors - matter for a small open economy like Canada. Our results suggest that the historical movements in Canadian real GDP are due largely to domestic fiscal- and monetary-policy shocks, and, due to non-negligible time variations in the riskiness of these policy shocks.
Book Synopsis A Short-run Forecasting Model for the Australian Economy by :
Download or read book A Short-run Forecasting Model for the Australian Economy written by and published by . This book was released on 1990 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Short-run Forecasting Model for the Australian Economy by : Peter B. Dixon
Download or read book A Short-run Forecasting Model for the Australian Economy written by Peter B. Dixon and published by . This book was released on 1989 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Bayesian Vector Autoregressive Model with Informative Steady-State Priors for the Australian Economy by : Meredith J. Beechey
Download or read book A Bayesian Vector Autoregressive Model with Informative Steady-State Priors for the Australian Economy written by Meredith J. Beechey and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naïve forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar.
Book Synopsis Modelling the Australian Economy by : D. W. Challen
Download or read book Modelling the Australian Economy written by D. W. Challen and published by . This book was released on 1979 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting with a Global VAR Model by : Thomas Van Florenstein Mulder
Download or read book Forecasting with a Global VAR Model written by Thomas Van Florenstein Mulder and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "The Bank assesses the impact of international conditions on the New Zealand economy using a range of models. Among them, is the Global Vector Autoregressive model (GVAR), which is designed to analyse economic and financial interdependencies between countries. The GVAR is primarily used by the Bank to examine the transmission of global shocks or disturbances to the New Zealand economy. This Analytical Note examines to what extent the GVAR can also forecast macroeconomic conditions in New Zealand and its main trading partners. We test several specifications of the GVAR and calculate out-of-sample forecasts for GDP, inflation, interest rates, exchange rates and equity prices for New Zealand, U.S., China, Australia, Canada and the euro area. We then evaluate whether GVAR forecasts are more accurate than other statistical models and whether the model's GDP forecasts can outperform economists' forecasts published by Consensus Economics. We find that forecasts obtained from simple specifications of the GVAR tend to outperform other simple statistical models of inflation and GDP. The GVAR also outperforms economists' GDP growth forecasts from Consensus Economics. These results emphasise the benefits of incorporating international linkages to improve forecast accuracy and suggest that the GVAR is a useful addition to the range of models used by the Reserve Bank to forecast the international economy"--Page 2.
Book Synopsis On Identifying Permanent and Transitory Shocks in VAR Models by : Minxian Yang
Download or read book On Identifying Permanent and Transitory Shocks in VAR Models written by Minxian Yang and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: