کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5106380 | 1481434 | 2017 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting GDP with global components: This time is different
ترجمه فارسی عنوان
پیش بینی تولید ناخالص داخلی با اجزای جهانی: این زمان متفاوت است
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
We examine whether a knowledge of in-sample co-movement across countries can be used in a more systematic way to improve the forecast accuracy at the national level. In particular, we ask whether a model with common international business cycle factors adds marginal predictive power over a domestic alternative. We answer this question using a dynamic factor model (DFM), and run an out-of-sample forecasting experiment. Our results show that exploiting the informational content in a common global business cycle factor improves the forecast accuracy in terms of both point and density forecast evaluation across a large panel of countries. We also document evidence showing that the Great Recession has a huge impact on this result, causing a clear shift in preferences towards the model that includes a common global factor. However, this time is different in other respects too, as the performance of the DFM deteriorates substantially for longer forecasting horizons in the aftermath of the Great Recession.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 33, Issue 1, JanuaryâMarch 2017, Pages 153-173
Journal: International Journal of Forecasting - Volume 33, Issue 1, JanuaryâMarch 2017, Pages 153-173
نویسندگان
Hilde C. Bjørnland, Francesco Ravazzolo, Leif Anders Thorsrud,