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The GVAR Handbook
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The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis

Filippo di Mauro and M. Hashem Pesaran

Abstract

The recent crisis has shown yet again how the world economies are globally interlinked, via a complex net of transmission channels. When it comes, however, to build econometric frameworks aimed at analysing such linkages, modellers are faced with what is called the "curse of dimensionality": there far too many parameters to be estimated with respect to the available observations. The GVAR, a VAR based model of the global economy, offers a solution to this problem. The basic model is composed of a large number of country specific models, comprising domestic, foreign and purely global variables. ... More

Keywords: international linkages, global VAR, global macroeconomic modelling, global interdependencies, policy simulations

Bibliographic Information

Print publication date: 2013 Print ISBN-13: 9780199670086
Published to Oxford Scholarship Online: May 2013 DOI:10.1093/acprof:oso/9780199670086.001.0001

Authors

Affiliations are at time of print publication.

Filippo di Mauro, editor
Senior Adviser, European Central Bank

M. Hashem Pesaran, editor
Professor of Economics, University of Cambridge; John Elliott Chair, University of Southern California; and a Professorial Fellow of Trinity College, Cambridge

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Contents

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2 The basic GVAR DdPS model

Filippo di Mauro and L. Vanessa Smith∗

Part I International transmission and forecasting

5 External shocks and international inflation linkages

Alessandro Galesi and Marco J. Lombardi

7 Using global VAR models for scenario-based forecasting and policy analysis

Matthew Greenwood-Nimmo, Viet Hoang Nguyen, and Yongcheol Shin∗

PART II Finance applications

10 Macroprudential applications of the GVAR

Alexander Al-Haschimi and Stéphane Dées∗

Part III Regional applications

13 China’s emergence in the world economy and business cycles in Latin America∗

Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, and TengTeng Xu

17 Regional financial spillovers across Europe

Alessandro Galesi and Marco J. Lombardi

End Matter