Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation

Abeysinghe, Tilak; Rajaguru, Gulasekaran

doi:10.1002/for.922

Cited by 85 publications

(54 citation statements)

References 13 publications

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“…ARIMA modeling approaches are chosen because they are sufficiently general to handle virtually all empirically observed patterns and often used for GDP forecasting (see for example Abeysinghe and Rajaguru, 2004). While such a type of modeling may be criticized for its black box approach (Makridakis and Wheelwright, 1989), it here serves well due to the large number of projections to be made and the difficulty identifying suitable economic model approaches, such as input-output models for all the different countries within the sample and over a time period starting from 1965.…”

Section: Estimation Methodologymentioning

confidence: 99%

Assessing The Macroeconomic Impacts Of Natural Disasters: Are There Any?

Hochrainer

2009

Policy Research Working Papers

162

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Section: Estimation Methodologymentioning

confidence: 99%

Assessing The Macroeconomic Impacts Of Natural Disasters: Are There Any?

Hochrainer

2009

Policy Research Working Papers

162

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“…In our application, however, these factors are unobserved and relate to a large set informative variables according to (1) and (2). This does not change any of the arguments just made in the context of the simple example.…”

Section: Empirical Strategymentioning

confidence: 99%

Global Forces and Monetary Policy Effectiveness

Boivin

Giannoni

2008

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In this paper, we quantify the changes in the relationship between international forces and many key US macroeconomic variables over the period, and analyze changes in the monetary policy transmission mechanism. We do so by estimating a Factor-Augmented VAR on a large set of US and international data series. We find that the role of international factors in explaining US variables has been changing over the 1984-2005 period. However, while some US series have become more correlated with global factors, there is little evidence suggesting that these factors have become systematically more important. We don't find strong evidence of a change in the transmission mechanism of monetary policy due to global forces. Taking our point estimates literally, global forces do not seem to have played an important role in the US monetary transmission mechanism between 1984 and 1999. In addition, since the year 2000, the initial response of the US economy following a monetary policy shock ---the first 6 to 8 quarters ---is essentially the same as the one that has been observed in the 1984-1999 period. However, point estimates suggest that the growing importance of global forces might have contributed to reducing some of the persistence in the responses, two or more years after the shocks. Overall, we conclude that if global forces have had an effect on the monetary transmission mechanism, this is a recent phenomenon.

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“…Additionally, we provide a counterfactual simulation of the US trade balance. The presented GVAR was estimated using time series by Abeysinghe and Rajaguru (2004) for the Chinese, Thai and Malaysian real GDP instead of the interpolated series, as well.…”

Section: Dynamic Analysismentioning

confidence: 99%

Investigating Global Imbalances: Empirical evidence from a GVAR approach

Bettendorf

2017

Economic Modelling

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper investigates the development of external imbalances from an international perspective by estimating a Global VAR model for the period 1981Q1-2009Q4 with a setup close to that of an international real business cycle model. The model considers 28 countries of which 10 are aggregated as the Eurozone. We compute generalized impulse response functions, as well as generalized forecast error variance decompositions, in order to measure the effects of shocks on international trade balances. The United States, Eurozone and China are considered as the sources of those shocks. We account for imbalances using real GDP, real effective exchange rates (REER) and real interest rates (RIR) as well as the oil price. Overall, we find evidence for the joint dynamics of our variables as drivers of the imbalances and relate our findings to theories of Global Imbalances. We show that real GDP is a relatively unimportant variable compared to the REER, RIR and the oil price. Moreover, we provide a counterfactual analysis of the US trade balance. Terms of use: Documents inJEL Classification: F10, F32, F41.

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Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation

Cited by 85 publications

References 13 publications

Assessing The Macroeconomic Impacts Of Natural Disasters: Are There Any?

Assessing The Macroeconomic Impacts Of Natural Disasters: Are There Any?

Global Forces and Monetary Policy Effectiveness

Investigating Global Imbalances: Empirical evidence from a GVAR approach

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