Distributional Forecasting of EU Asylum Applications with Dynamic Multivariate Count Models

2026-06-15

AI Summary

This study addresses the joint forecasting of monthly asylum applications across the European Union’s 27 member states, with particular emphasis on capturing upper-tail risks aligned with policy objectives. To this end, the authors develop a Bayesian dynamic multivariate count model that decomposes country-specific application intensities into idiosyncratic random walks and a common latent factor, incorporating heavy-tailed distributions or stochastic volatility to better characterize extreme events. This work represents the first integration of joint modeling, flexible dynamic structures, and upper-tail risk assessment in asylum forecasting, underscoring the principle that model design should be guided by policy-relevant loss functions. Empirical results demonstrate that the proposed EU-27 joint model substantially outperforms single-country benchmarks, particularly in upper-tail prediction accuracy and short-term dynamic responsiveness.

Abstract

We propose a Bayesian framework for joint distributional forecasting of monthly asylum applications across the EU-27. The model decomposes latent application intensities into country-specific random walks and common factors, with idiosyncratic and shared shocks allowed to exhibit heavy tails or stochastic volatility. Using Eurostat data from 2008 to 2026, we evaluate predictive distributions in a rolling out-of-sample exercise, scoring overall distributional accuracy and upper-tail risk. Three findings emerge. First, the preferred specification varies across countries, scoring rules, and horizons, underscoring the need to align models with policy-specific loss functions. Second, joint EU-27 models improve on country-by-country benchmarks, with the largest gains in the upper tail, where preparedness costs are most relevant. Third, random-walk log-intensities provide a useful short-run description of national asylum-application dynamics, especially when combined with flexible innovation dynamics. We conclude by discussing implications for national and EU-level agencies involved in asylum forecasting and preparedness planning.

Problem

• asylum applications
• distributional forecasting
• EU-27
• upper-tail risk
• multivariate count data

Innovation

• Bayesian forecasting
• multivariate count models
• heavy-tailed innovations
• stochastic volatility
• distributional prediction