Regime-switching global vector autoregressive models

Marco Gross and Michael Binder

No 1569, Working Paper Series from European Central Bank

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. JEL Classification: C32, E17, G20

Keywords: forecasting and simulation; Global macroeconometric modeling; nonlinear modeling; regime switching (search for similar items in EconPapers)
Date: 2013-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
Note: 3098116
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20131569

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