The GVAR Handbook
Structure and Applications of a Macro Model of the Global Economy for Policy Analysis
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Product details:
- Publisher OUP Oxford
- Date of Publication 28 February 2013
- ISBN 9780199670086
- Binding Hardback
- No. of pages300 pages
- Size 241x163x24 mm
- Weight 608 g
- Language English
- Illustrations 48 Figures, 20 Tables 0
Categories
Short description:
The GVAR is a Global Vector Auto-Regression model of the global economy. Its main feature is to take into account the financial and real linkages connecting the major world economies. This book provides an overview of the GVAR and its applications: forecasting, finance issues, and regional studies.
MoreLong description:
The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest.
The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public.
The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.
Table of Contents:
Introduction
The Basic GVAR DdPS Model
INTERNATIONAL TRANSMISSION AND FORECASTING
Global Recessions and Output Interdependencies in a GVAR Model of Actual and Expected Output in the G7
The GVAR Approach to Structural Modelling
External Shocks and International Inflation Linkages
International Business Cycles and the Role of Financial Markets
Using Global VAR Models for Scenario-based Forecasting and Policy Analysis
Short and medium-term forecasting using 'pooling' techniques
FINANCE APPLICATIONS
Nowcasting Quarterly Euro Area GDP Growth using a Global VAR Model
Macroprudential Applications of the GVAR
Modelling Sovereign Bond Spreads in the Euro Area: A Non-linear Global VAR Model
The International Spillover of Fiscal Spending on Financial Variables
REGIONAL APPLICATIONS
China's Emergence in the World Economy and Business Cycles in Latin America
Does One Size Fit All? Modelling Macroeconomic Linkages in the West African Economic and Monetary Union
Competitiveness, External Imbalances, and Economic Linkages in the Euro Area
Forecasting the Swiss Economy with a Small GVAR Model
Regional Financial Spillovers Across Europe
Conclusion
