Table 4.

Pseudo-out-of-sample forecast evaluation.

(a) Real GDP growth
	RMSFE				ACRPS				ALPL
	$h=1$	$h=2$	$h=3$	$h=4$	$h=1$	$h=2$	$h=3$	$h=4$	$h=1$	$h=2$	$h=3$	$h=4$
BVAR	0.52	0.95	1.37	1.75	0.26	0.48	0.71	0.93	−0.83	−1.38	−1.77	−2.07
BVAR $t$	0.51	0.94	1.36	1.74	0.25	0.46	0.69	0.90	−0.74	−1.24	−1.64	−1.92
(I) Pre-COVID-19 period: 1995:Q1–2019:Q4
BVAR	9.03	11.72	13.07	14.79	5.73	7.14	8.22	9.26	−34.09	−63.40	−55.06	−44.43
BVAR $t$	7.38	8.71	8.90	9.69	5.01	5.61	6.13	7.35	−6.67	−6.72	−7.43	−8.89
BVAR $D$	7.49	8.93	9.04	9.77	5.05	5.76	6.08	7.04	−61.45	−80.80	−69.11	−63.25
(II) COVID-19 period: 2020:Q1–2021:Q2
(b) HICP inflation
	RMSFE				ACRPS				ALPL
	$h=1$	$h=2$	$h=3$	$h=4$	$h=1$	$h=2$	$h=3$	$h=4$	$h=1$	$h=2$	$h=3$	$h=4$
BVAR	0.30	0.54	0.75	0.99	0.16	0.28	0.39	0.52	−0.25	−0.82	−1.12	−1.39
BVAR $t$	0.30	0.53	0.72	0.96	0.16	0.28	0.38	0.50	−0.22	−0.72	−1.03	−1.33
(I) Pre-COVID-19 period: 1995:Q1–2019:Q4
BVAR	0.61	1.06	1.35	1.56	0.32	0.66	0.78	0.80	−1.09	−1.90	−1.68	−1.59
BVAR $t$	0.58	0.99	1.12	1.14	0.31	0.64	0.71	0.67	−0.86	−1.71	−1.67	−1.58
BVAR $D$	0.59	1.02	1.16	1.21	0.31	0.63	0.68	0.67	−1.05	−1.82	−1.55	−1.48
(II) COVID-19 period: 2020:Q1–2021:Q2

Note: Forecast evaluation metrics prior to and during the COVID-19 pandemic for (a) real GDP growth and (b) HICP inflation. BVAR denotes a standard Gaussian BVAR, BVAR $t$ is the fat-tailed BVAR, and BVAR $D$ is the BVAR augmented with dummy variables for each quarter in the COVID-19 period.