Show simple item record

dc.contributor.authorSEGNON, Mawuli
dc.contributor.authorGUPTA, Rangan
dc.contributor.authorBEKIROS, Stelios D.
dc.contributor.authorWOHAR, Mark E.
dc.date.accessioned2018-12-06T13:55:40Z
dc.date.available2018-12-06T13:55:40Z
dc.date.issued2018
dc.identifier.citationJournal of forecasting, 2018, Vol. 37, No. 5, pp. 541-559
dc.identifier.issn0277-6693
dc.identifier.issn1099-131Xen
dc.identifier.urihttp://hdl.handle.net/1814/59977
dc.descriptionFirst published: 11 April 2018en
dc.description.abstractA large number of models have been developed in the literature to analyze and forecast changes in output dynamics. The objective of this paper was to compare the predictive ability of univariate and bivariate models, in terms of forecasting US gross national product (GNP) growth at different forecasting horizons, with the bivariate models containing information on a measure of economic uncertainty. Based on point and density forecast accuracy measures, as well as on equal predictive ability (EPA) and superior predictive ability (SPA) tests, we evaluate the relative forecasting performance of different model specifications over the quarterly period of 1919:Q2 until 2014:Q4. We find that the economic policy uncertainty (EPU) index should improve the accuracy of US GNP growth forecasts in bivariate models. We also find that the EPU exhibits similar forecasting ability to the term spread and outperforms other uncertainty measures such as the volatility index and geopolitical risk in predicting US recessions. While the Markov switching time-varying parameter vector autoregressive model yields the lowest values for the root mean squared error in most cases, we observe relatively low values for the log predictive density score, when using the Bayesian vector regression model with stochastic volatility. More importantly, our results highlight the importance of uncertainty in forecasting US GNP growth rates.
dc.language.isoen
dc.publisherWileyen
dc.relation.ispartofJournal of forecasting
dc.subjectEconomic policy uncertainty
dc.subjectForecast comparison
dc.subjectUS GNP
dc.subjectVector autoregressive models
dc.subjectEconomic-policy uncertaintyen
dc.subjectMonetary-policyen
dc.subjectFinancial frictionsen
dc.subjectOutput growthen
dc.subjectDSGE modelen
dc.subjectEuro areaen
dc.subjectInflationen
dc.subjectRecessionsen
dc.subjectShocksen
dc.subjectPerformanceen
dc.titleForecasting US GNP growth : the role of uncertainty
dc.typeArticleen
dc.identifier.doi10.1002/for.2517
dc.identifier.volume37
dc.identifier.startpage541
dc.identifier.endpage559
eui.subscribe.skiptrue
dc.identifier.issue5


Files associated with this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record