المستودع الأكاديمي جامعة المدينة

Exploring the international linkages of the euro area : a global VAR analysis

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dc.creator Dees, Stephane
dc.creator di Mauro, Filippo
dc.creator Pesaran, Mohammad Hashem
dc.creator Smith, L. Vanessa
dc.date 2005
dc.date.accessioned 2013-10-16T07:01:21Z
dc.date.available 2013-10-16T07:01:21Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/18789
dc.identifier ppn:484742493
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18789
dc.description 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 being treated as a single economy. This paper proposes two important extensions of previous research (see Pesaran, Schuermann and Weiner, 2004). First, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Also using average pair-wise cross-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and international comovements of business cycles. Second, in addition to generalised impulse response functions, we propose an identification scheme to derive structural impulse responses. We focus on identification of shocks to the US economy, particularly the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the US model as the first country model and consider alternative orderings of the US variables. Further to the US monetary policy shock, we also consider oil price, US equity and US real output shocks.
dc.language eng
dc.relation CESifo working papers 1425
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E17
dc.subject C32
dc.subject E47
dc.subject ddc:330
dc.subject Global VAR (GVAR)
dc.subject global interdependencies
dc.subject global macroeconomic modeling
dc.subject impulse responses
dc.subject Konjunkturzusammenhang
dc.subject Ökonometrisches Makromodell
dc.subject VAR-Modell
dc.subject Schätzung
dc.subject Europäische Wirtschafts- und Währungsunion
dc.subject Welt
dc.subject EU-Staaten
dc.subject Vereinigte Staaten
dc.title Exploring the international linkages of the euro area : a global VAR analysis
dc.type doc-type:workingPaper


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