Narrow search
Showing 1 - 10 of 212
Cover Image
Linking distress of financial institutions to macrofinancial shocks
Al-Haschimi, Alexander; Dées, Stéphane; di Mauro, Filippo - 2014
This paper links granular data of financial institutions to global macroeconomic variables using an infinite-dimensional vector autoregressive (IVAR) model framework. The approach taken allows for an assessment of the two-way links between the financial system and the macroeconomy, while...
Persistent link: https://www.econbiz.de/10011605794
Cover Image
To bi, or not to bi? Differences in spillover estimates from bilateral and multilateral multi-country models
Georgiadis, Georgios - 2015
Asymptotic analysis and Monte Carlo simulations show that spillover estimates obtained from widely-used bilateral (such as two-country VAR) models are significantly less accurate than those obtained from multilateral (such as global VAR) models. In particular, the accuracy of spillover estimates...
Persistent link: https://www.econbiz.de/10011605913
Cover Image
Assessing the costs and benefits of capital-based macroprudential policy
Behn, Markus; Gross, Marco; Peltonen, Tuomas - 2016
We develop an integrated Early Warning Global Vector Autoregressive (EW-GVAR) model to quantify the costs and benefits …
Persistent link: https://www.econbiz.de/10011605980
Cover Image
Uncertainty and Economic Activity: A Global Perspective
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...
Persistent link: https://www.econbiz.de/10011314141
Cover Image
Does the economic integration of China affect growth and inflation in industrial countries?
Dreger, Christian; Zhang, Yanqun - 2013
The Chinese economic development affects GDP growth and inflation in the advanced countries. A GVAR approach is used to …
Persistent link: https://www.econbiz.de/10011345520
Cover Image
Global Prediction of Recessions
Dovern, Jonas; Huber, Florian - 2015
We present evidence that global vectorautoregressive (GVAR) models produce significantly more accurate recession …
Persistent link: https://www.econbiz.de/10011422294
Cover Image
Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015
We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR … density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms … structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains …
Persistent link: https://www.econbiz.de/10011422299
Cover Image
Consistent estimation of global VAR models
Mutl, Jan - 2009
In this paper, I propose an instrumental variable (IV) estimation procedure to estimate global VAR (GVAR) models and … simple conditions that guarantee that the GVAR model is stable. …
Persistent link: https://www.econbiz.de/10010293999
Cover Image
China's emergence in the world economy and business cycles in Latin America
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2011
Vector Autoregressive (GVAR) model for 5 large Latin American economies and all major advanced and emerging economies of the …
Persistent link: https://www.econbiz.de/10010278334
Cover Image
The Chinese impact on GDP growth and inflation in the industrial countries
Dreger, Christian; Zhang, Yanqun - 2011
investigates to what extent this process affects output growth and inflation in the advanced countries. A GVAR model is specified …
Persistent link: https://www.econbiz.de/10010286628