BBVA-ARIES: A forecasting and simulation model for EMU

Fernando C. Ballabriga, Sonsoles Castillo

Research output: Indexed journal article Articlepeer-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 languageEnglish
Pages (from-to)411-426
Number of pages16
JournalJournal of Forecasting
Volume22
Issue number5
DOIs
Publication statusPublished - Aug 2003
Externally publishedYes

Keywords

  • Bayesian VAR
  • EMU
  • Forecasting

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