THEORY AND PRACTICE OF GVAR MODELLING

被引：116

作者：

Chudik, Alexander ^{[1
]}

Pesaran, M. Hashem ^{[2
,3
]}

机构：

[1] Fed Reserve Bank Dallas, Dallas, TX 75201 USA

[2] Univ So Calif, Los Angeles, CA 90089 USA

[3] Trinity Coll, Cambridge, England

来源：

JOURNAL OF ECONOMIC SURVEYS | 2016年 / 30卷 / 01期

关键词：

Global VAR; Global macroeconometric modelling; Global interdependencies; Policy simulations; DYNAMIC-FACTOR MODEL; MONETARY-POLICY; SHOCKS; EURO; IDENTIFICATION; DEMAND; TESTS; AGGREGATION; SHRINKAGE; DIFFUSION;

D O I：

10.1111/joes.12095

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyse 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 modelling, examining both the theoretical foundations of the approach and its numerous empirical applications. We provide a synthesis of existing literature and highlight areas for future research.

引用

页码：165 / 197

页数：33

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