Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
GVAR 框架下产出增长、通胀与贸易差额的概率预测
SUMMARY We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for structural instability by use of country‐specific intercept shifts, the timings of which are identified taking into account both statistical evidence and our knowledge of historic economic conditions and events. Using this model, we compute both central forecasts and scenario‐based…