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Forecasting Macroeconomic Variables in Emerging Economies: An Application to Vietnam
https://doi.org/10.24545/00001812
https://doi.org/10.24545/0000181262238040-f200-43b0-9e82-311cd072caa3
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP21-03.pdf (717.1 kB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2021-06-01 | |||||||||
| タイトル | ||||||||||
| タイトル | Forecasting Macroeconomic Variables in Emerging Economies: An Application to Vietnam | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Bayesian | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | dynamic model averaging | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | forecasting macroeconomic variables | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Vietnam | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ | technical report | |||||||||
| ID登録 | ||||||||||
| ID登録 (DOI) | 10.24545/00001812 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 著者 |
LE, Ha Thu
× LE, Ha Thu
× LEON-GONZALEZ, Roberto
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| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies；Banking Academy of Vietnam | |||||||||
| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | Forecasting macroeconomic variables in the rapidly changing macroeconomic environments faced by developing and emerging countries is an important task for central banks and policy-makers, yet often presents a number of challenges. In addition to the structural changes in the economy, the time-series data are usually available only for a small number of periods, and predictors are available in different lengths and frequencies. Dynamic model averaging (DMA), by allowing the forecasting model to change dynamically over time, permits the use of predictors with different lengths and frequencies for the purpose of forecasting in a rapidly changing economy. This study uses DMA to forecast inflation and growth in Vietnam, and compares its forecasting performance with a wide range of other time-series methods. Some results are noteworthy. First, the number and composition of the optimal predictor set changed, indicating changes in the economic relationships over time. Second, DMA frequently produces more accurate forecasts than other forecasting methods for both the inflation and the economic growth rate of Vietnam. | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | JEL Classification Codes: E31, E37, O40, C11, C53 | |||||||||
| 発行年 | ||||||||||
| 値 | 2021-06 | |||||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. 21-03, 発行日 2021-06-01 |
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| 出版者 | ||||||||||
| 出版者 | GRIPS Policy Research Center | |||||||||
| 言語 | en | |||||||||
| 関連サイト | ||||||||||
| 関連タイプ | isIdenticalTo | |||||||||
| 識別子タイプ | URI | |||||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/21-03.html | |||||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/21-03.html | |||||||||
| 著者情報 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | http://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ | |||||||||
| 著者版フラグ | ||||||||||
| 出版タイプ | AM | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||
