Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs

dc.contributor.authorGupta, Rangan
dc.contributor.authorSun, Xiaojin
dc.date.accessioned2019-10-23T05:30:20Z
dc.date.available2019-10-23T05:30:20Z
dc.date.issued2020-01
dc.description.abstractThis paper utilizes the recently developed methods of compressing the parameters and the data for a high-dimensional vector autoregression (VAR) to forecast economic policy uncertainty (EPU) of Brazil, China, India and Russia (BRIC) based on EPUs of additional 18 developed and developing countries. In line with the recent literature on spillover of EPUs across countries, we show that incorporating information of EPUs of other countries does indeed produce gains in forecasting the EPU of the BRIC bloc, irrespective of whether we compress the parameters or the data.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.elsevier.com/locate/ecoleten_ZA
dc.identifier.citationGupta, R. & Sun, X. 2020, 'Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs', Economics Letters, vol. 186, art. 108677, pp. 1-5.en_ZA
dc.identifier.issn0165-1765 (print)
dc.identifier.issn1873-7374 (online)
dc.identifier.other10.1016/j.econlet.2019.108677
dc.identifier.urihttp://hdl.handle.net/2263/71930
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2019 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Economics Letters, vol. 186, art. 108677, pp. 1-5, 2020. doi : 10.1016/j.econlet.2019.108677.en_ZA
dc.subjectBRIC countriesen_ZA
dc.subjectBrazil, Russia, India and China (BRIC)en_ZA
dc.subjectBayesian methodsen_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.subjectVector autoregression (VAR)en_ZA
dc.titleForecasting economic policy uncertainty of BRIC countries using Bayesian VARsen_ZA
dc.typePreprint Articleen_ZA

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