Procedura autoregressiva vettoriale bayesiana per la previsione dell'economia svizzera
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Questo libro adotta una metodologia di previsione della crescita del PIL reale e dell'inflazione in Svizzera. Introdotto da Litterman (1986), questo studio costruisce modelli di previsione per l'economia svizzera. In primo luogo, vengono calcolati modelli autodistribuiti ritardati (ARDL), seguiti dal quadro dei modelli bayesiani. I modelli autoregressivi vettoriali bayesiani (BVAR) si basano fortemente sul quadro VAR, ma permettono di sfruttare meglio tutte le informazioni disponibili. Utilizzando i dati del 1980, sono state calcolate previsioni fuori campione dal 2000 al 2014. Proponendo quattro categorie in cui raggruppare le variabili, questo studio rileva che i modelli VAR bayesiani migliorano gli errori di previsione, soprattutto per l'inflazione. Un'estensione del modello viene effettuata utilizzando dati esteri, riducendo ulteriormente gli errori di previsione. I prezzi delle attività sono risultati contenere informazioni preziose per la previsione del PIL reale e, in particolare, per la previsione della crescita dell'inflazione. Tuttavia, i BVAR non possono sostituire un metodo strutturale completo per l'analisi delle politiche economiche. Ciononostante, questi modelli tendono a produrre buone previsioni e dovrebbero quindi essere utilizzati come modelli di previsione complementari di riferimento per la Banca Nazionale Svizzera.
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