The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy…

Hardcover | March 15, 2013

EditorFilippo di Mauro, M. Hashem Pesaran

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The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged inthe context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extendedaudience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a languagewhich is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.

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The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged inthe context of a project financed by the EC...

Filippo di Mauro is Senior Adviser in the Research Department of the European Central Bank (ECB). He has published in academic journals such as the Journal of Applied Econometrics and Economic Policy. His work focuses on two main areas: Competitiveness assessment via firm level data; and Global linkages and business cycle forecast, in...

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Format:HardcoverDimensions:192 pages, 9.21 × 6.14 × 0.98 inPublished:March 15, 2013Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199670080

ISBN - 13:9780199670086

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Table of Contents

1. Filippo di Mauro and M. Hashem Pesaran: Introduction2. Filippo di Mauro and L. Vanessa Smith: The Basic GVAR DdPS ModelInternational Transmission and Forecasting3. Anthony Garratt, Kevin Lee, and Kalvinder Shields: Global Recessions and Output Interdependencies in a GVAR Model of Actual and Expected Output in the G74. Ron P. Smith: The GVAR Approach to Structural Modelling5. Alessandro Galesi and Marco J. Lombardi: External Shocks and International Inflation Linkages6. Sandra Eickmeier and Tim Ng: International Business Cycles and the Role of Financial Markets7. Matthew Greenwood-Nimmo, Viet Hoang Nguyen, and Yongcheol Shin: Using Global VAR Models for Scenario-based Forecasting and Policy Analysis8. L. Vanessa Smith: Short and medium-term forecasting using 'pooling' techniquesFinance Applications9. Silvia Lui and James Mitchell: Nowcasting Quarterly Euro Area GDP Growth using a Global VAR Model10. Alexander Al-Haschimi and Stephane Dees: Macroprudential Applications of the GVAR11. Carlo A. Favero: Modelling Sovereign Bond Spreads in the Euro Area: A Non-linear Global VAR Model12. C. Nickel and I. Vansteenkist: The International Spillover of Fiscal Spending on Financial VariablesRegional Applications13. Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, and TengTeng Xu: China's Emergence in the World Economy and Business Cycles in Latin America14. David Fielding, Kevin Lee, and Kalvinder Shields: Does One Size Fit All? Modelling Macroeconomic Linkages in the West African Economic and Monetary Union15. Stephane Dees: Competitiveness, External Imbalances, and Economic Linkages in the Euro Area16. Katrin Assenmacher: Forecasting the Swiss Economy with a Small GVAR Model17. Alessandro Galesi and Silvia Sgherri: Regional Financial Spillovers Across Europe18. Filippo di Mauro and M. Hashem Pesaran: Conclusion