Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153002
Authors: 
Dées, Stéphane
di Mauro, Filippo
Pesaran, Hashem
Smith, Vanessa
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 568
Abstract: 
This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979-2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. It develops a sieve bootstrap procedure for simulation of the GVAR as a whole to test the structural stability of the regression coefficients and error variances, and to establish confidence bounds for the impulse responses. Finally, in addition to generalized impulse responses, the paper also considers the use of the GVAR for "structural" impulse response analysis.
Subjects: 
Global interdependencies
global macroeconomic modeling
Global VAR (GVAR)
impulse responses
JEL: 
C32
E17
F47
Document Type: 
Working Paper

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