Bayesian Vector Autoregressive Procedure for Forecasting Swiss Economy: BVARs methodology for forecasting real GDP and inflation growth in Switzerland using asset prices

Lucien Rey

ISBN 10: 3659831662 / ISBN 13: 9783659831669

Published by Lap Lambert Academic Publishing, 2016

About this Item

76 pages. 8.78x6.02x0.43 inches. In Stock.

Seller Inventory # 3659831662

Bibliographic Details

• Title: Bayesian Vector Autoregressive Procedure for Forecasting Swiss Economy: BVARs methodology for forecasting real GDP and inflation growth in Switzerland using asset prices
• Publisher: Lap Lambert Academic Publishing
• Publication Date: 2016
• Language: English
• ISBN 10: 3659831662
• ISBN 13: 9783659831669
• Binding: Paperback
• Condition: Brand New
• Weight: 0.14 kilograms

About this title

Synopsis

This book adopts a methodology for forecasting real GDP and inflation growth in Switzerland. Introduced by Litterman (1986), this study builds forecast models for the Swiss economy. Firstly, autodistributed lagged models (ARDL) are computed, followed by the framework of Bayesian models. Bayesian vector autoregressive models (BVARs) strongly rely on the VAR framework, however they allow a better exploitation of all the information available. Using the data from 1980, out-of-sample forecasts have been computed from 2000 to 2014. Suggesting four categories that variables are grouped into, this study finds that Bayesian VAR models improve forecast errors, principally for inflation. An extension of the model is performed using foreign data, which further reduces forecast errors. Asset prices are found to contain valuable information in forecasting real GDP and, particularly in predicting inflation growth. However, BVARs cannot substitute for a complete structural method for economic policies analysis. Nevertheless, these models tend to produce good forecasts performance and thus, should be used as complementary benchmark forecasting models for the Swiss National Bank.

About the Author

Lucien was born in 1988 in Chermignon, southern French-part of Switzerland. After his Swiss military service, Lucien moved to Manchester (UK) studying a BSc (Hons) in Economics & Finance followed by an MSc in Finance at the Manchester Business School. Lucien is currently living in London working for a financial software, data and media company.