The aim of this study is to assess the extent to which the degree of heterogeneity of inflation expectations is driven by the flow of information related to current and future price developments. To that end, we follow three routes: i) We propose different measures of information flow that have...

This paper aims to illustrate how weight matrices that are needed to construct foreign variable vectors in Global Vector Autoregressive (GVAR) models can be estimated jointly with the GVAR's parameters. An application to real GDP and consumption expenditure price inflation as well as a...

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

This paper aims to illustrate how a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model can be set up and solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and banks for which we model their credit default swap...