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Exploring the International Linkages of the Euro Area: a Global VAR Analysis

Stephane Dees (), Filippo di Mauro (), M Pesaran () and L. Vanessa Smith ()

No 47, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: This paper presents a quarterly global model linking individual country vector error-correcting 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)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ets, nep-fmk and nep-mac
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http://www.ecb.int/pub/pdf/scpwps/ecbwp568.pdf main text (application/pdf)
http://repec.org/sce2006/up.29913.1138368462.pdf (application/pdf)

Related works:
Journal Article: Exploring the international linkages of the euro area: a global VAR analysis (2007) Downloads
Working Paper: Exploring the International Linkages of the Euro Area: a Global VAR Analysis (2005) Downloads
Working Paper: Exploring the International Linkages of the Euro Area: a Global VAR Analysis (2005) Downloads
Working Paper: Exploring the international linkages of the euro area: a global VAR analysis (2005) Downloads
Working Paper: Exploring the International Linkages of the Euro Area: A Global VAR Analysis (2004)
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