Exploring the international linkages of the euro area - a global VAR analysis

Stephane Dees (), Filippo di Mauro (), M Hashem Pesaran () and L. Vanessa Smith ()
Additional contact information
L. Vanessa Smith: University of Cambridge, Cambridge Endowment for Research in Finance, CB3 9DD Cambridge, United Kingdom, http://www.admin.cam.ac.uk/reporter/2004-05/weekly/6007/7.html

No 568, Working Paper Series from European Central Bank

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.

Keywords: Global VAR (GVAR); Global interdependencies; global macroeconomic modeling; impulse responses. (search for similar items in EconPapers)
JEL-codes: C32 E17 F47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
Date: 2005-12
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Related works:
Working Paper: Exploring the International Linkages of the Euro Area: A Global VAR Analysis (2004)
Working Paper: Exploring the International Linkages of the Euro Area: a Global VAR Analysis (2005)
Working Paper: Exploring the International Linkages of the Euro Area: a Global VAR Analysis (2006)
Working Paper: Exploring the International Linkages of the Euro Area: a Global VAR Analysis (2005)
Journal Article: Exploring the international linkages of the euro area: a global VAR analysis (2007)
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