Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154002
Authors: 
Binder, Michael
Gross, Marco
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1569
Abstract: 
The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are conditional upon a regime-constellation across countries. Coupling the RS and the GVAR methodology improves out-of-sample forecast accuracy significantly in an application to real GDP, price inflation, and stock prices.
Subjects: 
forecasting and simulation
Global macroeconometric modeling
nonlinear modeling
Regime switching
JEL: 
C32
E17
G20
Document Type: 
Working Paper

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