Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs
This paper utilizes the recently developed methods of compressing the parameters and the
data for a high-dimensional vector autoregression (VAR) to forecast economic policy
uncertainty (EPU) of Brazil, China, India and Russia (BRIC) based on EPUs of additional 18
developed and developing countries. In line with the recent literature on spillover of EPUs
across countries, we show that incorporating information of EPUs of other countries does
indeed produce gains in forecasting the EPU of the BRIC bloc, irrespective of whether we …
data for a high-dimensional vector autoregression (VAR) to forecast economic policy
uncertainty (EPU) of Brazil, China, India and Russia (BRIC) based on EPUs of additional 18
developed and developing countries. In line with the recent literature on spillover of EPUs
across countries, we show that incorporating information of EPUs of other countries does
indeed produce gains in forecasting the EPU of the BRIC bloc, irrespective of whether we …
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