A VECX* model of the Swiss economy

Katrin Assenmacher and Mohammad Pesaran

No 2009-06, Economic Studies from Swiss National Bank

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 specifi cations of the marginal model for the exogenous variables, or conditional on some pre-specifi ed 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: C32 C53 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Working Paper: A VECX* Model of the Swiss Economy (2008)
Working Paper: A VECX Model of the Swiss Economy (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbecs:2009-06

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