Publication:
Forecast Sensitivity to Global Risks: A BVAR Analysis

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dc.contributor.authorRuberl, Heather
dc.contributor.authorTercioglu, Remzi Baris
dc.contributor.authorElderfield, Adam
dc.date.accessioned2025-05-29T15:47:27Z
dc.date.available2025-05-29T15:47:27Z
dc.date.issued2025-05-29
dc.description.abstractDeveloping countries face uncertainties driven by global macroeconomic variables over which they have little to no control. Key exogenous factors faced by most developing countries include interest rates in high-income countries, commodity prices, global demand for exports, and remit- tance inflows. While these variables are sensitive to common global shocks, they also exhibit idiosyncratic fluctuations. This paper employs a Bayesian Vector Autoregression model to capture interdependencies of global variables and simulates global risks using the empirical joint distribution of global shock as captured by joint Bayesian Vector Autoregression errors. The simulated shocks are then integrated into the World Bank’s macro-structural model to assess how a range of potential global disturbances could impact economic outcomes across countries. The methodology is applied to 115 countries, using the World Bank’s fall 2024 edition of the Macro-Poverty Outlook forecasts as a baseline. Although the individual country results are heterogeneous, the aggregate distribution of gross domestic product outcomes across the 115 countries suggests that global factors influence gross domestic product levels in individual developing countries by less than plus or minus 2 percent in most years, but by between 2 and 4 percent in about 3 in 10 years.en
dc.identifierhttp://documents.worldbank.org/curated/en/099410405272518099
dc.identifier.urihttps://hdl.handle.net/10986/43257
dc.languageEnglish
dc.language.isoen_US
dc.publisherWashington, DC: World Bank
dc.relation.ispartofseriesPolicy Research Working Paper; 11132
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttps://creativecommons.org/licenses/by/3.0/igo/
dc.subjectECONOMIC MODELING
dc.subjectFORECASTING
dc.subjectGLOBAL RISKS
dc.subjectMACROECONOMIC SHOCKS
dc.subjectMACROECONOMIC MODELING AND STATISTICS
dc.titleForecast Sensitivity to Global Risksen
dc.title.subtitleA BVAR Analysisen
dc.typeWorking Paper
dspace.entity.typePublication
okr.date.disclosure2025-05-29
okr.date.lastmodified2025-05-29T14:05:34Zen
okr.doctypePolicy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/099410405272518099
okr.guid099410405272518099
okr.identifier.docmidIDU-14361341-7735-45f8-8d13-d8d7316b0d38
okr.identifier.doi10.1596/1813-9450-11132
okr.identifier.externaldocumentum40016563
okr.identifier.internaldocumentum40016563
okr.identifier.reportWPS11132
okr.import.id7499
okr.importedtrueen
okr.language.supporteden
okr.pdfurlhttps://documents.worldbank.org/curated/en/099410405272518099/pdf/IDU-14361341-7735-45f8-8d13-d8d7316b0d38.pdfen
okr.region.geographicalWorld
okr.topicMacroeconomics and Economic Growth::Economic Modeling and Statistics
okr.topicFinance and Financial Sector Development::Insurance & Risk Mitigation
okr.unitEAEM2 - EFI-AFR1-MTI-MacroFiscal-2
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