Cover Image

The GVAR handbook : structure and applications of a macro model of the global economy for policy analysis /

"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...

Full description

Bibliographic Details
Other Authors: Di Mauro, Filippo (Editor), Pesaran, M. Hashem, 1946- (Editor)
Format: eBook
Language:English
Published: Oxford : Oxford University Press, ©2013.
Subjects:
Economic policy.
Regression analysis.
Macroeconomics > Mathematical models.
Economic forecasting.
Regression Analysis
Politique économique.
Analyse de régression.
Macroéconomie > Modèles mathématiques.
Prévision économique.
BUSINESS & ECONOMICS > Development > Business Development.
BUSINESS & ECONOMICS > Development > Economic Development.
BUSINESS & ECONOMICS > Development > General.
BUSINESS & ECONOMICS > Government & Business.
BUSINESS & ECONOMICS > Structural Adjustment.
POLITICAL SCIENCE > Public Policy > Economic Policy.
Economic forecasting
Economic policy
Macroeconomics > Mathematical models
Regression analysis
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Title pages
  • List of figures
  • List of tables
  • List of contributors
  • 1. Introduction : An overview of the GVAR approach and the handbook / Filippo di Mauro and M. Hashem Pesaran
  • 2. The basic GVAR DdPS model / Filippo di Mauro and L. Vanessa Smith
  • Part I. International Transmission and Forecasting
  • 3. Global recessions and output interdependencies in a GVAR model of actual and expected output in the G7 / Anthony Garratt, Kevin Lee, and Kalvinder Shields
  • 4. The GVAR approach to structural modelling / Ron P. Smith
  • 5. External shocks and international inflation linkages / Alessandro Galesi and Marco J. Lombardi
  • 6. International business cycles and the role of financial markets / Sandra Eickmeier and Tim Ng
  • 7. Using global VAR models for scenario-based forecasting and policy analysis / Matthew Greenwood-Nimmo, Viet Hoang Nguyen, and Yongcheol Shin
  • 8. Short- and medium-term forecasting using 'pooling' techniques / L. Vanessa Smith
  • 9. Nowcasting quarterly euro-area GDP growth using a global VAR model / Silvia Lui and James Mitchell
  • Part II. Finance Applications
  • 10. Macroprudential applications of the GVAR / Alexander Al-Haschimi and Stéphane Dées
  • 11. Modelling sovereign bond spreads in the euro area : a nonlinear global VAR model / Carlo A. Favero
  • 12. The international spillover of fiscal spending on financial variables / Christiane Nickel and Isabel Vansteenkiste
  • Part III. Regional Applications
  • 13. China's emergence in the world economy and business cycles in Latin America / Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, and TengTeng Xu
  • 14. Does one size fit all? Modelling macroeconomic linkages in the West African Economic and Monetary Union / David Fielding, Kevin Lee, and Kalvinder Shields
  • 15. Competitiveness, external imbalances, and economic linkages in the euro area / Stéphane Dées
  • 16. Forecasting the Swiss economy with a small GVAR model / Katrin Assenmacher
  • 17. Regional financial spillovers across Europe / Alessandro Galesi and Marco J. Lombardi
  • 18. Conclusion / Filippo di Mauro, and M. Hashem Pesaran
  • Index.