文章基本信息

标题：Forecasting the world economy in the short-term
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作者：Audrone Jakaitiene ; Stéphane Dées
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2009
卷号：1
出版社：European Central Bank
摘要：Forecasting the world economy is a di¢ cult task given the complex interre- lationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic vari- ables and aims, rst, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods forecasting di- rectly aggregate variables (direct approaches) outperform methods based on the aggregation of country-specic forecasts (bottom-up approaches). Over- all, all methods perform better than a simple benchmark for short horizons (up to three months ahead). Among the forecasting approaches used, factor models appear to perform the best. Moreover, direct approaches outperform bottom-up ones for real variables, but not for prices. Finally, when country- specic forecasts are adjusted to match direct forecasts at the aggregate levels (top-down approaches), the forecast accuracy is neither improved nor deteriorated (i.e. top-down and bottom-up approaches are broadly equiva- lent in terms of country-specic forecast accuracy).
关键词：Factor models; Forecasts; Time series models.