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A VECX Model of the Swiss Economy Author info | Abstract | Publisher info | Download info | Related research | Statistics Katrin Assenmacher-Wesche ()
M. Hashem Pesaran ()
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This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of key foreign variables. We identify and test a long-run structure between the variables. Moreover, we analyse the dynamic properties of the model using Generalised Impulse Response Functions. In its current form the model can be used to produce forecasts for the endogenous variables either under alternative specifications of the marginal model for the exogenous variables, or conditional on some pre-specified path of those variables (for scenario forecasting). In due course the Swiss VECX model can also be integrated within a Global VAR (GVAR) model where the foreign variables of the model are determined endogenously.
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number
CESifo Working Paper No. 2281.
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Date of creation: 2008Date of revision:
Handle: RePEc:ces:ceswps:_2281Contact details of provider: Postal: Poschingerstrasse 5, 81679 Munich Phone: +49 (89) 9224-0 Fax: +49 (89) 985369 Web page: http://www.cesifo.de
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Keywords: long-run structural vector autoregression ; Other versions of this item:
Paper Assenmacher-Wesche, Katrin & Pesaran, M. Hashem, 2009.
"A VECX* model of the Swiss economy ,"
Economic Studies
2009-6, Swiss National Bank.
[Downloadable!] Assenmacher-Wesche, K. & Pesaran, M.H., 2008.
"A VECX* Model of the Swiss Economy ,"
Cambridge Working Papers in Economics
0809, Faculty of Economics, University of Cambridge.
[Downloadable!] Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Lee, Kevin C. & Pesaran, M. Hashem, 1993.
"Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth ,"
Ricerche Economiche ,
Elsevier, vol. 47(3), pages 293-322, September.
[Downloadable!] (restricted)
Ho, Mun S & Sorensen, Bent E, 1996.
"Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations ,"
The Review of Economics and Statistics ,
MIT Press, vol. 78(4), pages 726-32, November.
[Downloadable!] (restricted)
M. Hashem Pesaran & Ron Smith, 2006.
"Macroeconometric Modelling With A Global Perspective ,"
Manchester School ,
University of Manchester, vol. 74(s1), pages 24-49, 09.
[Downloadable!] (restricted)
Other versions:
Pesaran, M.H. & Smith, R., 2006.
"Macroeconometric Modelling with a Global Perspective ,"
Cambridge Working Papers in Economics
0604, Faculty of Economics, University of Cambridge.
[Downloadable!] M. Hashem Pesaran & Ron P. Smith, 2006.
"Macroeconometric Modelling with a Global Perspective ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!] M. Hashem Pesaran & Ron Smith, 2006.
"Macroeconometric Modelling with a Global Perspective ,"
IEPR Working Papers
06.43, Institute of Economic Policy Research (IEPR).
[Downloadable!] M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001.
"Modelling regional interdependencies using a global error-correcting macroeconometric model ,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
B4-1, International Conferences on Panel Data.
[Downloadable!]
Other versions:
Pesaran, M.H. & Weiner, S.M., 2001.
"Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model ,"
Cambridge Working Papers in Economics
0119, Faculty of Economics, University of Cambridge.
[Downloadable!] M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2002.
"Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model ,"
Center for Financial Institutions Working Papers
01-38, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!] Pesaran M.H. & Schuermann T. & Weiner S.M., 2004.
"Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 22, pages 129-162, April.
[Downloadable!] (restricted) Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007.
"Exploring the international linkages of the euro area: a global VAR analysis ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
[Downloadable!]
Other versions:
Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004.
"Exploring the International Linkages of the Euro Area: A Global VAR Analysis ,"
IEPR Working Papers
04.6, Institute of Economic Policy Research (IEPR).
[Downloadable!] Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005.
"Exploring the International Linkages of the Euro Area: a Global VAR Analysis ,"
Cambridge Working Papers in Economics
0518, Faculty of Economics, University of Cambridge.
[Downloadable!] Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006.
"Exploring the International Linkages of the Euro Area: a Global VAR Analysis ,"
Computing in Economics and Finance 2006
47, Society for Computational Economics.
[Downloadable!] Stéphane Dées & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005.
"Exploring the international linkages of the euro area - a global VAR analysis ,"
Working Paper Series
568, European Central Bank.
[Downloadable!] Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005.
"Exploring the International Linkages of the Euro Area: a Global VAR Analysis ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!] Kilian, Lutz, 2001.
"Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order ,"
Journal of Forecasting ,
John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001.
"Bounds testing approaches to the analysis of level relationships ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
[Downloadable!]
Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003.
"A Long run structural macroeconometric model of the UK ,"
Economic Journal ,
Royal Economic Society, vol. 113(487), pages 412-455, 04.
[Downloadable!] (restricted)
Other versions:
A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004.
"A long run structural macroeconometric model of the UK ,"
ESE Discussion Papers
35, Edinburgh School of Economics, University of Edinburgh.
[Downloadable!] Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998.
"A Long-run Structural Macro-econometric Model of the UK ,"
Cambridge Working Papers in Economics
9812, Faculty of Economics, University of Cambridge.
Assenmacher-Wesche, Katrin & Pesaran, M. Hashem, 2008.
"Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Modelsand Observation Windows ,"
Working Papers
2008-3, Swiss National Bank.
[Downloadable!]
Pagan, A.R. & Pesaran, M. Hashem, 2008.
"Econometric analysis of structural systems with permanent and transitory shocks ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 32(10), pages 3376-3395, October.
[Downloadable!] (restricted)
Other versions: Henrik Hansen & Søren Johansen, 1999.
"Some tests for parameter constancy in cointegrated VAR-models ,"
Econometrics Journal ,
Royal Economic Society, vol. 2(2), pages 306-333.
Pesaran, M. Hashem & Shin, Yongcheol, 1996.
"Cointegration and speed of convergence to equilibrium ,"
Journal of Econometrics ,
Elsevier, vol. 71(1-2), pages 117-143.
[Downloadable!] (restricted)
Other versions: Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root ,"
Econometrica ,
Econometric Society, vol. 64(4), pages 813-36, July.
[Downloadable!] (restricted)
Other versions: Pesaran, M. H. & Shin, Y. & Smith, R. J., 1997.
"Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables ,"
Cambridge Working Papers in Economics
9706, Faculty of Economics, University of Cambridge.
Other versions: Kongsted, Hans Christian, 2005.
"Testing the nominal-to-real transformation ,"
Journal of Econometrics ,
Elsevier, vol. 124(2), pages 205-225, February.
[Downloadable!] (restricted)
Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models ,"
Economics Letters ,
Elsevier, vol. 58(1), pages 17-29, January.
[Downloadable!] (restricted)
Other versions: Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996.
"Impulse response analysis in nonlinear multivariate models ,"
Journal of Econometrics ,
Elsevier, vol. 74(1), pages 119-147, September.
[Downloadable!] (restricted)
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