An Evaluation Of The Forecasting Performance Of Three Econometric Models For The Eurozone And The USA

This paper compares the forecasting performance of three different econometric models for the Eurozone and the USA: a Vector Auto Regression (VAR), a Bayesian Vector Auto Regression (BVAR), and a Structural Vector Error Correction model (SVEC). The forecast evaluation is based on 19 vintages of real time data for output, inflation rates, interest rates, the exchange rate and the money stock from the 4th quarter of 2004 until the 1st quarter of 2010. The oil price is used as the only exogenous variable in the model.