IDEAS home Printed from https://ideas.repec.org/p/ris/adbrei/0076.html
   My bibliography  Save this paper

ASEAN-5 Macroeconomic Forecasting Using a GVAR Model

Author

Listed:
  • Han, Fei

    (University of California, Berkeley)

  • Hee Ng, Thiam

    (Asian Development Bank)

Abstract

This paper examines and evaluates macroeconomic forecasts for the original ASEAN-5 members in the context of a global vector autoregressive (GVAR) model covering 20 countries, grouped into nine countries/regions. After estimating the GVAR model, we generate 12 one-quarter-ahead forecasts for the next quarter including real GDP, inflation, short-term interest rates, real exchange rates, and real equity prices over the period 2009Q1–2011Q4, with four out-of-sample forecasts over the period 2009Q1–2009Q4. Forecast evaluation results based on the panel Diebold-Mariano (DM) tests show the GVAR forecasts tend to outperform forecasts based on the benchmark country-specific models, especially for short-term interest rates and real equity prices, emphasizing the interdependencies in the global financial market.

Suggested Citation

  • Han, Fei & Hee Ng, Thiam, 2011. "ASEAN-5 Macroeconomic Forecasting Using a GVAR Model," Working Papers on Regional Economic Integration 76, Asian Development Bank.
    • Handle: RePEc:ris:adbrei:0076
    as

    Download full text from publisher

    File URL: http://aric.adb.org/pdf/workingpaper/WP76_Han_ASEAN_5_Macroeconomic_Forecasting.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Park, Cyn-Young & Majuca, Ruperto & Yap, Josef, 2010. "The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications," Working Papers on Regional Economic Integration 45, Asian Development Bank.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Inoue,Tomoo & Kaya,Demet & Ohshige,Hitoshi, 2015. "The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model," Policy Research Working Paper Series 7442, The World Bank.
    2. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
    3. Tan, Madeleine Sui-Lay, 2016. "Policy coordination among the ASEAN-5: A global VAR analysis," Journal of Asian Economics, Elsevier, vol. 44(C), pages 20-40.
    4. Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(3), pages 667-698, September.
    5. Guimbard, Houssein & Le Goff, Maëlan, 2014. "Mega Deals: What Consequences for sub-Saharan Africa?," Conference papers 332514, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    6. Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
    7. Lukman Oyeyinka Oyelami & P.A. Olomola, 2016. "External shocks and macroeconomic responses in Nigeria: A global VAR approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1239317-123, December.
    8. Dumrongrittikul, Taya & Anderson, Heather & Vahid, Farshid, 2019. "The global effects of productivity gains in Asian emerging economies," Economic Modelling, Elsevier, vol. 83(C), pages 127-140.
    9. Bloem da Silveira Junior, Luiz A. & Vasconcellos, Eduardo & Vasconcellos Guedes, Liliana & Guedes, Luis Fernando A. & Costa, Renato Machado, 2018. "Technology roadmapping: A methodological proposition to refine Delphi results," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 194-206.
    10. Mr. Mauricio Vargas & Daniela Hess, 2019. "The Caribbean and its Linkages with the World: A GVAR Model Approach," IMF Working Papers 2019/256, International Monetary Fund.
    11. Quirapas, Mary Ann Joy Robles & Lin, Htet & Abundo, Michael Lochinvar Sim & Brahim, Sahara & Santos, Diane, 2015. "Ocean renewable energy in Southeast Asia: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 41(C), pages 799-817.
    12. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hamanaka, Shintaro, 2010. "Institutional Parameters of a Region-Wide Economic Agreement in Asia: Examination of Trans-Pacific Partnership and ASEAN+α Free Trade Agreement Approaches," Working Papers on Regional Economic Integration 67, Asian Development Bank.
    2. Lin, Mi & Kwan, Yum K., 2013. "FDI Technology Spillovers and Spatial Diffusion in the People’s Republic of China," Working Papers on Regional Economic Integration 120, Asian Development Bank.
    3. Nesadurai, Helen E.S., 2010. "Labor and Grassroots Civic Interests In Regional Institutions," Working Papers on Regional Economic Integration 63, Asian Development Bank.
    4. Hix, Simon, 2010. "Institutional Design of Regional Integration: Balancing Delegation and Representation," Working Papers on Regional Economic Integration 64, Asian Development Bank.
    5. Nasir, Shahbaz & Kalirajan, Kaliappa, 2014. "Modern Services Export Performances among Emerging and Developed Asian Economies," Working Papers on Regional Economic Integration 143, Asian Development Bank.
    6. Hamanaka, Shintaro, 2014. "World Trade Organization Agreement on Trade Facilitation: Assessing the Level of Ambition and Likely Impacts," Working Papers on Regional Economic Integration 138, Asian Development Bank.
    7. Lee, Hyun-Hoon & Park, Donghyun & Wang, Jing, 2011. "The Role of the People’s Republic of China in International Fragmentation and Production Networks: An Empirical Investigation," Working Papers on Regional Economic Integration 87, Asian Development Bank.
    8. Shinozaki, Shigehiro, 2014. "Capital Market Financing for SMEs: A Growing Need in Emerging Asia," Working Papers on Regional Economic Integration 121, Asian Development Bank.
    9. Voeten, Erik, 2010. "Regional Judicial Institutions and Economic Cooperation: Lessons for Asia?," Working Papers on Regional Economic Integration 65, Asian Development Bank.
    10. Wang, Yong, 2010. "Evolving Asian Power Balances and Alternate Conceptions for Building Regional Institutions," Working Papers on Regional Economic Integration 68, Asian Development Bank.
    11. Hill, Hal & Menon, Jayant, 2014. "Trade Policy Challenges in a Small, Open, Fragile, Postconflict Economy: Cambodia," Working Papers on Regional Economic Integration 141, Asian Development Bank.
    12. Estrada, Gemma & Park, Donghyun & Park, Innwon & Park, Soonchan, 2011. "ASEAN’s Free Trade Agreements with the People’s Republic of China, Japan, and the Republic of Korea: A Qualitative and Quantitative Analysis," Working Papers on Regional Economic Integration 75, Asian Development Bank.
    13. Cheong, David, 2010. "Methods for Ex Ante Economic Evaluation of Free Trade Agreements," Working Papers on Regional Economic Integration 52, Asian Development Bank.
    14. Cyn‐Young PARK & Jong‐Wha LEE, 2011. "Financial Integration in Emerging Asia: Challenges and Prospects," Asian Economic Policy Review, Japan Center for Economic Research, vol. 6(2), pages 176-198, December.
    15. Hill, Hal & Menon, Jayant, 2010. "ASEAN Economic Integration: Features, Fulfillments, Failures and the Future," Working Papers on Regional Economic Integration 69, Asian Development Bank.
    16. Dieter, Heribert, 2014. "The End of Grand Expectations: Monetary and Financial Integration After the Crisis in Europe," Working Papers on Regional Economic Integration 127, Asian Development Bank.
    17. Hong, Kiseok & Tang, Hsiao Chink, 2010. "Crises in Asia: Recovery and Policy Responses," Working Papers on Regional Economic Integration 48, Asian Development Bank.
    18. Takagi, Shinji, 2010. "Regional Surveillance for East Asia: How Can It Be Designed to Complement Global Surveillance?," Working Papers on Regional Economic Integration 50, Asian Development Bank.
    19. Baldwin, Richard, 2010. "Sequencing regionalism: Theory, European practice, and lessons for Asia," CEPR Discussion Papers 7852, C.E.P.R. Discussion Papers.
    20. Khadiagala, Gilbert M., 2011. "Institution Building for African Regionalism," Working Papers on Regional Economic Integration 85, Asian Development Bank.

    More about this item

    Keywords

    Macroeconomic Forecasting; Global vector autoregressive model (GVAR); Southeast Asia;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:adbrei:0076. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ivan B. de Leon (email available below). General contact details of provider: https://edirc.repec.org/data/oradbph.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.