BBVA-ARIES: A forecasting and simulation model for EMU

F. Ballabriga Clavería; Sonsoles Castillo

doi:10.1002/for.861

BBVA-ARIES: A forecasting and simulation model for EMU

F. Ballabriga Clavería^*, Sonsoles Castillo

^*Corresponding author for this work

Research output: Indexed journal article › Article › peer-review

1 Citation (Scopus)

Abstract

This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU.

Original language	English
Pages (from-to)	411-426
Number of pages	16
Journal	Journal of Forecasting
Volume	22
Issue number	5
DOIs	https://doi.org/10.1002/for.861
Publication status	Published - Aug 2003
Externally published	Yes

Keywords

Bayesian VAR
EMU
Forecasting

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10.1002/for.861

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abstract = "This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU.",

keywords = "Bayesian VAR, EMU, Forecasting",

author = "{Ballabriga Claver{\'i}a}, F. and Sonsoles Castillo",

year = "2003",

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language = "English",

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pages = "411--426",

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AU - Castillo, Sonsoles

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AB - This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU.

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KW - EMU

KW - Forecasting

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ER -

BBVA-ARIES: A forecasting and simulation model for EMU

Abstract

Keywords

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