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-speci c 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- speci c 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-speci c forecast accuracy).
