Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153002 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
ECB Working Paper No. 568
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Global interdependencies
global macroeconomic modeling
Global VAR (GVAR)
impulse responses
JEL: 
C32
E17
F47
Dokumentart: 
Working Paper

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