A BVAR Model for Forecasting Ukrainian Inflation and GDP
In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with a steady-state prior and compare the accuracy of the forecasts against the QPM and official NBU forecasts during the Q1 2016–Q1 2020 period. My findings suggest that inflation forecasts produce...
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| Format: | Article |
| Language: | English |
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National Bank of Ukraine
2021-06-01
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| Series: | Visnyk of the National Bank of Ukraine |
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| Online Access: | https://journal.bank.gov.ua/en/article/2021/251/02 |
| _version_ | 1818773692581150720 |
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| author | Nadiia Shapovalenko |
| author_facet | Nadiia Shapovalenko |
| author_sort | Nadiia Shapovalenko |
| collection | DOAJ |
| description | In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with a steady-state prior and compare the accuracy of the forecasts against the QPM and official NBU forecasts during the Q1 2016–Q1 2020 period. My findings suggest that inflation forecasts produced by the BVAR model are more accurate than those of the QPM model for two quarters ahead and are competitive for a longer time horizon. The BVAR forecasts for GDP growth also outperform those of the QPM but for the whole forecast horizon. Moreover, it is revealed that the BVAR model demonstrates a better performance compared to the NBU’s official inflation forecasts over the monetary policy horizon, whereas the opposite is true for GDP growth forecasts. Future research may deal with estimation issues brought about by COVID-19. |
| first_indexed | 2024-12-18T10:29:17Z |
| format | Article |
| id | doaj.art-50c63c8b2301413ead446f2c53c17a7f |
| institution | Directory Open Access Journal |
| issn | 2414-987X |
| language | English |
| last_indexed | 2024-12-18T10:29:17Z |
| publishDate | 2021-06-01 |
| publisher | National Bank of Ukraine |
| record_format | Article |
| series | Visnyk of the National Bank of Ukraine |
| spelling | doaj.art-50c63c8b2301413ead446f2c53c17a7f2022-12-21T21:10:53ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2021-06-01251143610.26531/vnbu2021.251.02A BVAR Model for Forecasting Ukrainian Inflation and GDPNadiia Shapovalenko0National Bank of UkraineIn this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with a steady-state prior and compare the accuracy of the forecasts against the QPM and official NBU forecasts during the Q1 2016–Q1 2020 period. My findings suggest that inflation forecasts produced by the BVAR model are more accurate than those of the QPM model for two quarters ahead and are competitive for a longer time horizon. The BVAR forecasts for GDP growth also outperform those of the QPM but for the whole forecast horizon. Moreover, it is revealed that the BVAR model demonstrates a better performance compared to the NBU’s official inflation forecasts over the monetary policy horizon, whereas the opposite is true for GDP growth forecasts. Future research may deal with estimation issues brought about by COVID-19.https://journal.bank.gov.ua/en/article/2021/251/02forecastinginflationgdpbvarforecast evaluation |
| spellingShingle | Nadiia Shapovalenko A BVAR Model for Forecasting Ukrainian Inflation and GDP Visnyk of the National Bank of Ukraine forecasting inflation gdp bvar forecast evaluation |
| title | A BVAR Model for Forecasting Ukrainian Inflation and GDP |
| title_full | A BVAR Model for Forecasting Ukrainian Inflation and GDP |
| title_fullStr | A BVAR Model for Forecasting Ukrainian Inflation and GDP |
| title_full_unstemmed | A BVAR Model for Forecasting Ukrainian Inflation and GDP |
| title_short | A BVAR Model for Forecasting Ukrainian Inflation and GDP |
| title_sort | bvar model for forecasting ukrainian inflation and gdp |
| topic | forecasting inflation gdp bvar forecast evaluation |
| url | https://journal.bank.gov.ua/en/article/2021/251/02 |
| work_keys_str_mv | AT nadiiashapovalenko abvarmodelforforecastingukrainianinflationandgdp AT nadiiashapovalenko bvarmodelforforecastingukrainianinflationandgdp |