A VECX* Model of the Swiss Economy

Katrin Assenmacher-Wesche () and M Hashem Pesaran ()

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of key foreign variables. We identify and test a long-run structure between the variables. Moreover, we analyse the dynamic properties of the model using Generalised Impulse Response Functions. In its current form the model can be used to produce forecasts for the endogenous variables either under alternative specifications of the marginal model for the exogenous variables, or conditional on some pre-specified path of those variables (for scenario forecasting). In due course the Swiss VECX* model can also be integrated within a Global VAR (GVAR) model where the foreign variables of the model are determined endogenously.

Keywords: Long-run; structural; vector; autoregression. (search for similar items in EconPapers)
JEL-codes: C53 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec
Date: 2008-02
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Related works:
Working Paper: A VECX* model of the Swiss economy (2009)
Working Paper: A VECX Model of the Swiss Economy (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:cam:camdae:0809

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