By the same authors

Using Global VAR Models for Scenario-based Forecasting and Policy Analysis

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Standard

Using Global VAR Models for Scenario-based Forecasting and Policy Analysis. / Shin, Yongcheol; Greenwood-Nimmo, Matthew; Nguyen, Viet.

The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis. ed. / Hashem Pesaran; Filippo di Mauro. Oxford : Oxford University Press, 2013. p. 97-113.

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Harvard

Shin, Y, Greenwood-Nimmo, M & Nguyen, V 2013, Using Global VAR Models for Scenario-based Forecasting and Policy Analysis. in H Pesaran & F di Mauro (eds), The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis. Oxford University Press, Oxford, pp. 97-113.

APA

Shin, Y., Greenwood-Nimmo, M., & Nguyen, V. (2013). Using Global VAR Models for Scenario-based Forecasting and Policy Analysis. In H. Pesaran, & F. di Mauro (Eds.), The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (pp. 97-113). Oxford: Oxford University Press.

Vancouver

Shin Y, Greenwood-Nimmo M, Nguyen V. Using Global VAR Models for Scenario-based Forecasting and Policy Analysis. In Pesaran H, di Mauro F, editors, The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis. Oxford: Oxford University Press. 2013. p. 97-113

Author

Shin, Yongcheol ; Greenwood-Nimmo, Matthew ; Nguyen, Viet. / Using Global VAR Models for Scenario-based Forecasting and Policy Analysis. The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis. editor / Hashem Pesaran ; Filippo di Mauro. Oxford : Oxford University Press, 2013. pp. 97-113

Bibtex - Download

@inbook{824882b0fefa482087d0bf24c4918898,
title = "Using Global VAR Models for Scenario-based Forecasting and Policy Analysis",
abstract = "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 fi…rst show how probabilistic forecasting can be applied to the analysis of global imbalances. Probabilistic forecasting involves evaluating the conditional probability of a given event or combination of events over a defi…ned horizon by means of model-based simulations. To demonstrate the usefulness of this approach, we develop a simple four-way probabilistic classifi…catory 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 modeler to construct a wide range of policy-relevant scenarios.",
keywords = "Global VAR, Scenario-Based Forecasting and Analysis, Global Imbalances.",
author = "Yongcheol Shin and Matthew Greenwood-Nimmo and Viet Nguyen",
year = "2013",
language = "English",
isbn = "978-0-19-967008-6",
pages = "97--113",
editor = "Hashem Pesaran and {di Mauro}, Filippo",
booktitle = "The GVAR Handbook",
publisher = "Oxford University Press",

}

RIS (suitable for import to EndNote) - Download

TY - CHAP

T1 - Using Global VAR Models for Scenario-based Forecasting and Policy Analysis

AU - Shin, Yongcheol

AU - Greenwood-Nimmo, Matthew

AU - Nguyen, Viet

PY - 2013

Y1 - 2013

N2 - 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 fi…rst show how probabilistic forecasting can be applied to the analysis of global imbalances. Probabilistic forecasting involves evaluating the conditional probability of a given event or combination of events over a defi…ned horizon by means of model-based simulations. To demonstrate the usefulness of this approach, we develop a simple four-way probabilistic classifi…catory 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 modeler to construct a wide range of policy-relevant scenarios.

AB - 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 fi…rst show how probabilistic forecasting can be applied to the analysis of global imbalances. Probabilistic forecasting involves evaluating the conditional probability of a given event or combination of events over a defi…ned horizon by means of model-based simulations. To demonstrate the usefulness of this approach, we develop a simple four-way probabilistic classifi…catory 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 modeler to construct a wide range of policy-relevant scenarios.

KW - Global VAR, Scenario-Based Forecasting and Analysis, Global Imbalances.

M3 - Chapter (peer-reviewed)

SN - 978-0-19-967008-6

SP - 97

EP - 113

BT - The GVAR Handbook

A2 - Pesaran, Hashem

A2 - di Mauro, Filippo

PB - Oxford University Press

CY - Oxford

ER -