One-Period Joint Forecasts of Polish Inflation, Unemployment and Interest Rate Using Bayesian VEC-MSF Models

• Autorzy: Justyna Wróblewska , Anna Pajor
• Języki publikacji: EN

Abstrakty

EN

The paper aims at comparing forecast ability of VAR/VEC models with a non-changing covariance matrix and two classes of Bayesian Vector Error Correction - Stochastic Volatility (VEC-SV) models, which combine the VEC representation of a VAR structure with stochastic volatility, represented by the Multiplicative Stochastic Factor (MSF) process, the SBEKK form or the MSFSBEKK specification. Based on macro-data coming from the Polish economy (time series of unemployment, inflation and interest rates) we evaluate predictive density functions employing of such measures as log predictive density score, continuous rank probability score, energy score, probability integral transform. Each of them takes account of different feature of the obtained predictive density functions. (original abstract)

Słowa kluczowe

EN

Cointegration; Stochastic Volatility Processes; Bayesian econometric; Forecasting; Inflation; Unemployment; Interest rate

PL

Kointegracja; Procesy zmienności stochastycznej; Ekonometria bayesowska; Prognozowanie; Inflacja; Bezrobocie; Stopa procentowa

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2019
• Tom: 11
• Numer: nr 1
• Strony: 23--45

Twórcy

autor

Justyna Wróblewska

• Cracow University of Economics, Poland

autor

Anna Pajor

• Cracow University of Economics, Poland

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