Gupta, RanganSun, Xiaojin2019-10-232019-10-232020-01Gupta, R. & Sun, X. 2020, 'Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs', Economics Letters, vol. 186, art. 108677, pp. 1-5.0165-1765 (print)1873-7374 (online)10.1016/j.econlet.2019.108677http://hdl.handle.net/2263/71930This 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© 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.BRIC countriesBrazil, Russia, India and China (BRIC)Bayesian methodsEconomic policy uncertainty (EPU)Vector autoregression (VAR)Preprint Article