دانلود مقاله ISI انگلیسی شماره 45744
عنوان فارسی مقاله

اطلاعات اقتصاد کلان، تغییرات ساختاری و پیش بینی مصالح مالی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45744 2015 24 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Macroeconomic information, structural change, and the prediction of fiscal aggregates
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Journal of Forecasting, Volume 31, Issue 2, April–June 2015, Pages 325–348

کلمات کلیدی
VAR های بیزی - پیش بینی - سیاست های مالی
پیش نمایش مقاله
پیش نمایش مقاله اطلاعات اقتصاد کلان، تغییرات ساختاری و پیش بینی مصالح مالی

چکیده انگلیسی

Previous research on the prediction of fiscal aggregates has shown evidence that simple autoregressive models often provide better forecasts of fiscal variables than multivariate specifications. We argue that the multivariate models considered by previous studies are small-scale, probably burdened by overparameterization, and not robust to structural changes. Bayesian Vector Autoregressions (BVARs), on the other hand, allow the information contained in a large data set to be summarized efficiently, and can also allow for time variation in both the coefficients and the volatilities. In this paper we explore the performance of BVARs with constant and drifting coefficients for forecasting key fiscal variables such as government revenues, expenditures, and interest payments on the outstanding debt. We focus on both point and density forecasting, as assessments of a country’s fiscal stability and overall credit risk should typically be based on the specification of a whole probability distribution for the future state of the economy. Using data from the US and the largest European countries, we show that both the adoption of a large system and the introduction of time variation help in forecasting, with the former playing a relatively more important role in point forecasting, and the latter being more important for density forecasting.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.