Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs

Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs We investigate the ability of small- and medium-scale Bayesian VARs (BVARs) to produce accurate macroeconomic (output and inflation) and credit (loans and lending rate) out-of-sample forecasts during the latest Greek crisis. We implement recently proposed Bayesian shrinkage techniques based on Bayesian hierarchical modeling, and we evaluate the information content of forty-two (42) monthly macroeconomic and financial variables in terms of point and density forecasting. Alternative competing models employed in the study include Bayesian autoregressions (BARs) and time-varying parameter VARs with stochastic volatility, among others. The empirical results reveal that, overall, medium-scale BVARs enriched with economy-wide variables can considerably and consistently improve short-term inflation forecasts. The information content of financial variables, on the other hand, proves to be beneficial for the lending rate density forecasts across forecasting horizons. Both of the above-mentioned results are robust to alternative specification choices, while for the rest of the variables smaller-scale BVARs, or even univariate BARs, produce superior forecasts. Finally, we find that the popular, data-driven, shrinkage methods produce, on average, inferior forecasts compared to the theoretically grounded method considered here. Empirical Economics Springer Journals

Macroeconomic and credit forecasts during the Greek crisis using Bayesian VARs

Loading next page...
Springer Berlin Heidelberg
Copyright © 2016 by Springer-Verlag Berlin Heidelberg
Economics; Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods
Publisher site
See Article on Publisher Site


You’re reading a free preview. Subscribe to read the entire article.

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches


Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.



billed annually
Start Free Trial

14-day Free Trial