Showing 1 - 7 of 7
This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables, xit, to their foreign counterparts,...
Persistent link: https://www.econbiz.de/10003301036
This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model's parameters and where it...
Persistent link: https://www.econbiz.de/10009571104
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...
Persistent link: https://www.econbiz.de/10010354717
This paper proposes tests of policy ineffectiveness in the context of macroeconometric rational expectations models. It is assumed that there is a policy intervention that takes the form of changes in the parameters of a policy rule, and that there are sufficient observations before and after...
Persistent link: https://www.econbiz.de/10010375404
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10011508097
This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...
Persistent link: https://www.econbiz.de/10009781626
Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on microfoundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort...
Persistent link: https://www.econbiz.de/10009127720