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Les prévisions conditionnelles sont-elles plus précises que les prévisions inconditionnelles dans les projections de croissance et d’inflation en zone CEMAC ?
[Should conditional forecasts of inflation and real growth more accurate than unconditional forecasts in CEMAC subregion ?]

Author

Listed:
  • Ngomba Bodi, Francis Ghislain
  • Bikai, Landry

Abstract

This study compares the predictive performance of the conditional forecasting technique against the unconditional technique. The conditional technique consist of taking into account the information available on an endogenous variable over part of the forecast horizon. We develop a Bayesian VAR model with three endogenous, real growth, inflation and monetary growth, in which we condition the evolution of monetary growth by considering three types of scenarios : basic, optimistic and pessimistic. Two main results can be draw from our simulations : (i) the conditional forecasting approach is generally more precise than the unconditional approach ; (ii) the uncertainty around the central forecast is reduced with the conditional forecast technique. These results therefore call on the central bank to adopt the conditional forecasting technique in projections of real growth and inflation ; but also to consider various scenarios on the variable to be conditioned.

Suggested Citation

  • Ngomba Bodi, Francis Ghislain & Bikai, Landry, 2019. "Les prévisions conditionnelles sont-elles plus précises que les prévisions inconditionnelles dans les projections de croissance et d’inflation en zone CEMAC ? [Should conditional forecasts of infla," MPRA Paper 116432, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:116432
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    File URL: https://mpra.ub.uni-muenchen.de/116432/1/MPRA_paper_116432.pdf
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    References listed on IDEAS

    as
    1. Daniel F. Waggoner & Tao Zha, 1999. "Conditional Forecasts In Dynamic Multivariate Models," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 639-651, November.
    2. Juan Antolín-Díaz & Ivan Petrella & Juan F. Rubio-Ramírez, 2017. "Structural Scenario Analysis and Stress Testing with Vector Autoregressions," Working Papers 2017-13, FEDEA.
    3. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
    4. Bloor, Chris & Matheson, Troy, 2011. "Real-time conditional forecasts with Bayesian VARs: An application to New Zealand," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 26-42, January.
    5. Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca, 2014. "Short-term inflation projections: A Bayesian vector autoregressive approach," International Journal of Forecasting, Elsevier, vol. 30(3), pages 635-644.
    6. Christoffel, Kai & Coenen, Gunter & Warne, Anders, 2007. "Conditional versus unconditional forecasting with the New Area-Wide Model of the euro area," MPRA Paper 76759, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Conditional forecast; bayesian VAR; scenario analysis; growth and inflation forecasts;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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