Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach

Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach

In this paper, the predictive capabilities of the Economic Sentiment Indicator (ESI), based on business and consumer surveys in the Euro area, are evaluated by out-of-sample forecasts of Swedish GDP growth. A steady state Bayesian VAR-model is applied to quarterly data from 1996 to 2014. The results...

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Main Author: Spånberg, Erik
Format: Others
Language:English
Published: Uppsala universitet, Statistiska institutionen 2015
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256761
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spelling ndltd-UPSALLA1-oai-DiVA.org-uu-2567612015-06-27T05:08:43ZOut of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian ApproachengSpånberg, ErikUppsala universitet, Statistiska institutionen2015In this paper, the predictive capabilities of the Economic Sentiment Indicator (ESI), based on business and consumer surveys in the Euro area, are evaluated by out-of-sample forecasts of Swedish GDP growth. A steady state Bayesian VAR-model is applied to quarterly data from 1996 to 2014. The results show that the inclusion of the ESI improves the forecasting performance, both in the point predictive measurement Root Mean Square Errors and in the forecast density sharpness measurement Log Predictive Density Scores. These findings suggest that international confidence indicators may prove useful in forecasting macroeconomic trends for small open economies. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256761application/pdfinfo:eu-repo/semantics/openAccess
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language English
format Others
sources NDLTD
description In this paper, the predictive capabilities of the Economic Sentiment Indicator (ESI), based on business and consumer surveys in the Euro area, are evaluated by out-of-sample forecasts of Swedish GDP growth. A steady state Bayesian VAR-model is applied to quarterly data from 1996 to 2014. The results show that the inclusion of the ESI improves the forecasting performance, both in the point predictive measurement Root Mean Square Errors and in the forecast density sharpness measurement Log Predictive Density Scores. These findings suggest that international confidence indicators may prove useful in forecasting macroeconomic trends for small open economies.
author Spånberg, Erik
spellingShingle Spånberg, Erik
Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach
author_facet Spånberg, Erik
author_sort Spånberg, Erik
title Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach
title_short Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach
title_full Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach
title_fullStr Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach
title_full_unstemmed Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach
title_sort out of sample forecast of swedish gdp growth by the economic sentiment indicator in the euro area : a bayesian approach
publisher Uppsala universitet, Statistiska institutionen
publishDate 2015
url http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256761
work_keys_str_mv AT spanbergerik outofsampleforecastofswedishgdpgrowthbytheeconomicsentimentindicatorintheeuroareaabayesianapproach
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