Assenmacher, Katrin; Pesaran, M. Hashem - Schweizerische Nationalbank (SNB) - 2009
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...