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A Pair-Wise Approach to Testing for Output and Growth Convergence

Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2004

This paper proposes a pair-wise approach to testing for output convergence that considers all N(N-1)/2 possible pairs … of log per capita output gaps across N economies. A general probabilistic definition of output convergence is also …-2000. Overall, the results do not support output convergence, and suggest that the findings of convergence clubs in the literature …

Persistent link: https://www.econbiz.de/10005566528

Exploring the International Linkages of the Euro Area : A Global VAR Analysis

Dées, Stéphane - 2006

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10012783809

A Pair-Wise Approach to Testing for Output and Growth Convergence

Pesaran, M. Hashem - CESifo - 2004

Persistent link: https://www.econbiz.de/10005766053

Assessing Forecast Uncertainties in a VECX Modelfor Switzerland: An Exercise in Forecast Combinationacross Models and Observation Windows

Assenmacher-Wesche, Katrin; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

We investigate the effect of forecast uncertainty in a cointegrating vector error correctionmodel for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First,we investigate the effect on forecasting performance of averaging over forecasts fromdifferent models...

Persistent link: https://www.econbiz.de/10005861655

On Econometric Analysis of Structural Systemswith Permanent and Transitory Shocksand Exogenous Variables

Pagan, Adrian; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

This paper considers the implications of the permanent/transitory decomposition of shocksfor identification of structural models in the general case where the model might contain morethan one permanent structural shock. It provides a simple and intuitive generalization of theinfluential work of...

Persistent link: https://www.econbiz.de/10005863249

China's emergence in the world economy and business cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2012

The international business cycle is very important for Latin America's economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of...

Persistent link: https://www.econbiz.de/10010319665

China's Emergence in the World Economy and Business Cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2011

This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission of international business cycles to Latin America. Evidence based on a GVAR model for five large Latin American economies shows that the long-term impact of...

Persistent link: https://www.econbiz.de/10010328125

Theory and Practice of GVAR Modeling

Chudik, Alexander; Pesaran, M. Hashem - 2014

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/10010398604

Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10010531839

A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model

Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020

This paper develops a threshold-augmented dynamic multi-country model (TG-VAR) to quantify the macroeconomic effects of Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant...

Persistent link: https://www.econbiz.de/10012314875