Macroeconometric Modelling With A Global Perspective

Citations

Cited by:

1. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
   • Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and practice of GVAR modeling," Globalization Institute Working Papers 180, Federal Reserve Bank of Dallas.
   • Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo.
   • Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics 1408, Faculty of Economics, University of Cambridge.
2. Mutl, Jan, 2009. "Consistent Estimation of Global VAR Models," Economics Series 234, Institute for Advanced Studies.
3. Park, Hail & Shin, Yongcheol, 2017. "Exploring international linkages using generalised connectedness measures: The case of Korea," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 49-64.
4. Chisiridis, Konstantinos & Mouratidis, Kostas & Panagiotidis, Theodore, 2022. "The north-south divide, the euro and the world," Journal of International Money and Finance, Elsevier, vol. 121(C).
   • Konstantinos Chisiridis & Kostas Mouratidis & Theodore Panagiotidis, 2018. "The North-South Divide, the Euro and the World," Working Papers 377, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
   • Konstantinos Chisiridis & Kostas Mouratidis & Theodore Panagiotidis, 2020. "The North-South Divide, the Euro and the Worlds," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 147, Hellenic Observatory, LSE.
   • Konstantinos Chisiridis & Kostas Mouratidis & Theodore Panagiotidis, 2020. "The North-South Divide, the Euro and the World," Working Paper series 20-10, Rimini Centre for Economic Analysis.
   • Chisiridis, Konstantinos & Mouratidis, Kostas & Panagiotidis, Theodore, 2020. "The north-south divide, the Euro and the world," LSE Research Online Documents on Economics 104470, London School of Economics and Political Science, LSE Library.
   • Konstantinos Chisiridis & Kostas Mouratidis & Theodore Panagiotidis, 2018. "The North-South Divide, the Euro and the World," Working Papers 2018015, The University of Sheffield, Department of Economics.
5. Hany Abdel-Latif & Tapas Mishra & Anita Staneva, 2019. "Arab Countries between Winter and Spring: Where Democracy Shock Goes Next!," Economies, MDPI, vol. 7(1), pages 1-19, March.
   • Hany Abdel-Latif & Tapas Mishra & Anita Staneva, 2015. "Arab Countries Between Winter and Spring: Where Democracy Shock Goes Next!," Working Papers 954, Economic Research Forum, revised Oct 2015.
6. Chen, Qianying & Filardo, Andrew & He, Dong & Zhu, Feng, 2016. "Financial crisis, US unconventional monetary policy and international spillovers," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 62-81.
   • Qianying Chen & Andrew Filardo & Dong He & Feng Zhu, 2014. "Financial Crisis, Unconventional Monetary Policy and International Spillovers," Working Papers 232014, Hong Kong Institute for Monetary Research.
   • Qianying Chen & Andrew Filardo & Dong He & Feng Zhu, 2015. "Financial crisis, US unconventional monetary policy and international spillovers," BIS Working Papers 494, Bank for International Settlements.
   • Qianying Chen & Andrew Filardo & Mr. Dong He & Mr. Feng Zhu, 2015. "Financial Crisis, US Unconventional Monetary Policy and International Spillovers," IMF Working Papers 2015/085, International Monetary Fund.
7. Laganà, Gianluca & Sgro, Pasquale Michael, 2011. "A factor-augmented VAR approach: The effect of a rise in the US personal income tax rate on the US and Canada," Economic Modelling, Elsevier, vol. 28(3), pages 1163-1169, May.
8. TengTeng Xu, 2012. "The Role of Credit in International Business Cycles," Staff Working Papers 12-36, Bank of Canada.
   • Xu, T.T., 2012. "The role of credit in international business cycles," Cambridge Working Papers in Economics 1202, Faculty of Economics, University of Cambridge.
9. Smith, Ron P. & Pesaran, Mohammad Hashem, 2007. "Monetary Policy Transmission and the Phillips Curve in a Global Context," Kiel Working Papers 1366, Kiel Institute for the World Economy (IfW Kiel).
10. Nina Biljanovska & Alexis Meyer-Cirkel, 2016. "Testing Shock Transmission Channels to Low-Income Developing Countries," IMF Working Papers 2016/102, International Monetary Fund.
11. Annari Waal & Reneé Eyden, 2014. "Monetary policy and inflation in South Africa: A VECM augmented with foreign variables," South African Journal of Economics, Economic Society of South Africa, vol. 82(1), pages 117-140, March.
    • Annari de Waal & Renee van Eyden, 2012. "Monetary policy and inflation in South Africa: A VECM augmented with foreign variables," Working Papers 201231, University of Pretoria, Department of Economics.
    • Annari de Waal & Reneé van Eyden, 2012. "Monetary policy and inflation in South Africa: A VECM augmented with foreign variables," Working Papers 316, Economic Research Southern Africa.
12. Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007. "Long Run Macroeconomic Relations in the Global Economy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-20.
    • Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0661, Faculty of Economics, University of Cambridge.
    • Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0703, Faculty of Economics, University of Cambridge.
    • Stephane Dees & Sean Holly & M. Hashem Pesaran & L. Vanessa Smith, 2007. "Long Run Macroeconomic Relations in the Global Economy," CESifo Working Paper Series 1904, CESifo.
    • Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007. "Long Run Macroeconomic Relations in the Global Economy," Economics Discussion Papers 2007-7, Kiel Institute for the World Economy (IfW Kiel).
    • Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Holly, Sean, 2007. "Long run macroeconomic relations in the global economy," Working Paper Series 750, European Central Bank.
13. Chudik, Alexander & Pesaran, M. Hashem, 2011. "Infinite-dimensional VARs and factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
    • Chudik, Alexander & Pesaran, M. Hashem, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute of Labor Economics (IZA).
    • Chudik, Alexander & Pesaran, Hashem, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series 998, European Central Bank.
    • Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," CESifo Working Paper Series 2176, CESifo.
    • Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
14. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    • John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
    • Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
15. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2015. "Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis," Economic Modelling, Elsevier, vol. 48(C), pages 129-154.
    • Minoas Koukouritakis & Athanasios Papadopoulos & Andreas Yiannopoulos, 2013. "Linkages between the Eurozone and the South-Eastern European Countries: A Global VAR Analysis," Working Papers 1304, University of Crete, Department of Economics.
    • Minoas Koukouritakis & Athanasios P. Papadopoulos & Andreas Yannopoulos, 2013. "Linkages between the euro zone and the south-eastern European countries: a global VAR analysis," Working Papers 163, Bank of Greece.
16. Mohaddes Kamiar & Raissi Mehdi, 2013. "Oil Prices, External Income, and Growth: Lessons from Jordan," Review of Middle East Economics and Finance, De Gruyter, vol. 9(2), pages 99-131, August.
    • Mohaddes, K. & Raissi, M., 2011. "Oil Prices, External Income, and Growth: Lessons from Jordan," Cambridge Working Papers in Economics 1164, Faculty of Economics, University of Cambridge.
    • Kamiar Mohaddes & Mehdi Raissi, 2012. "Oil Prices, External Income, and Growth: Lessons from Jordan," Working Papers 688, Economic Research Forum, revised 2012.
    • Mr. Mehdi Raissi & Mr. Kamiar Mohaddes, 2011. "Oil Prices, External Income, and Growth: Lessons From Jordan," IMF Working Papers 2011/291, International Monetary Fund.
17. M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2007. "What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 55-87.
18. Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2009. "Identification of New Keynesian Phillips Curves from a Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1481-1502, October.
    • Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2009. "Identification of New Keynesian Phillips Curves from a Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1481-1502, October.
    • Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Smith, Ron P., 2008. "Identification of new Keynesian Phillips Curves from a global perspective," Working Paper Series 892, European Central Bank.
    • Dees, S. & Pesaran, M.H. & Smith, L.V. & Smith, R.P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," Cambridge Working Papers in Economics 0803, Faculty of Economics, University of Cambridge.
    • Dees, Stephane & Pesaran, M. Hashem & Smith, L. Vanessa & Smith, Ron P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," IZA Discussion Papers 3298, Institute of Labor Economics (IZA).
    • Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," CESifo Working Paper Series 2219, CESifo.
19. Bettendorf, Timo, 2013. "Feeding the Global VAR with theory: Is German wage moderation to blame for European imbalances?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79710, Verein für Socialpolitik / German Economic Association.
20. Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2008. "A VECX Model of the Swiss Economy," CESifo Working Paper Series 2281, CESifo.
    • 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.
    • Katrin Assenmacher & M. Hashem Pesaran, 2009. "A VECX* model of the Swiss economy," Economic Studies 2009-06, Swiss National Bank.
21. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
22. Gregoriou, Andros & Kontonikas, Alexandros, 2010. "The long-run relationship between stock prices and goods prices: New evidence from panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 166-176, April.
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23. Kok, Christoffer & Gross, Marco & Żochowski, Dawid, 2016. "The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model," Working Paper Series 1888, European Central Bank.
24. Annari De Waal & Rene頖an Eyden & Rangan Gupta, 2015. "Do we need a global VAR model to forecast inflation and output in South Africa?," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2649-2670, May.
    • Annari de Waal & Renee van Eyden & Rangan Gupta, 2013. "Do we need a global VAR model to forecast inflation and output in South Africa?," Working Papers 201346, University of Pretoria, Department of Economics.
25. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach," MPRA Paper 89998, University Library of Munich, Germany.
26. Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Tsionas, Efthymios G. & Minou, Chrysanthi, 2015. "System estimation of GVAR with two dominants and network theory: Evidence for BRICs," Economic Modelling, Elsevier, vol. 51(C), pages 604-616.
27. Smith, Ron P. & Zoega, Gylfi, 2008. "Global Factors, Unemployment Adjustment and the Natural Rate," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-29.
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28. Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
29. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
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30. YUAN, Chunming & CHEN, Ruo, 2015. "Policy transmissions, external imbalances, and their impacts: Cross-country evidence from BRICS," China Economic Review, Elsevier, vol. 33(C), pages 1-24.
31. Song, Wonho & Park, Sung Y. & Ryu, Doojin, 2018. "Dynamic conditional relationships between developed and emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 534-543.
32. Burney, Nadeem A. & Mohaddes, Kamiar & Alawadhi, Ahmad & Al-Musallam, Marwa, 2018. "The dynamics and determinants of Kuwait's long-run economic growth," Economic Modelling, Elsevier, vol. 71(C), pages 289-304.
33. Gross, Marco & Población, Javier, 2017. "Assessing the efficacy of borrower-based macroprudential policy using an integrated micro-macro model for European households," Economic Modelling, Elsevier, vol. 61(C), pages 510-528.
34. Laganà, Gianluca & Sgro, Pasquale Michael, 2013. "North American trade and US monetary policy," Economic Modelling, Elsevier, vol. 30(C), pages 698-705.
35. Allegret, Jean-Pierre & Sallenave, Audrey, 2014. "The impact of real exchange rates adjustments on global imbalances: A multilateral approach," Economic Modelling, Elsevier, vol. 37(C), pages 149-163.
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36. Sonja Fagernäs & Prabirjit Sarkar & Ajit Singh, 2008. "Legal Origin, Shareholder Protection and the Stock Market: New Challenges from Time Series Analysis," Chapters, in: Klaus Gugler & B. Burcin Yurtoglu (ed.), The Economics of Corporate Governance and Mergers, chapter 2, Edward Elgar Publishing.
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37. Paul Levine, 2012. "Monetary policy in an uncertain world: probability models and the design of robust monetary rules," Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 5(1), pages 70-88, April.
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38. Peltonen, Tuomas A. & Gross, Marco & Behn, Markus, 2016. "Assessing the costs and benefits of capital-based macroprudential policy," Working Paper Series 1935, European Central Bank.
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39. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
40. Heijdra, Ben J. & Ligthart, Jenny E., 2010. "The Transitional Dynamics Of Fiscal Policy In Small Open Economies," Macroeconomic Dynamics, Cambridge University Press, vol. 14(1), pages 1-28, February.
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41. Povilas Lastauskas & Julius Stakenas, 2019. "Does It Matter When Labor Market Reforms Are Implemented? The Role of the Monetary Policy Environment," Bank of Lithuania Working Paper Series 66, Bank of Lithuania.
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42. Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
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43. Artha Hoxha, 2018. "Explaining the impact of the global financial crisis on European transition countries: a GVAR approach," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2-18, pages 81-97.
44. Lastauskas, Povilas & Stakėnas, Julius, 2020. "Labor market reforms and the monetary policy environment," European Economic Review, Elsevier, vol. 128(C).
45. Michaelides, Panayotis G. & Konstantakis, Konstantinos N. & Milioti, Christina & Karlaftis, Matthew G., 2015. "Modelling spillover effects of public transportation means: An intra-modal GVAR approach for Athens," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 82(C), pages 1-18.
46. Martínez-Hernández, Catalina, 2020. "Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area," Discussion Papers 2020/18, Free University Berlin, School of Business & Economics.
47. Todd Sarnstrom & Michael Ryan, 2023. "Third‐country exchange rate effects on foreign direct investment flows: A global vector autoregessive approach," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 522-549, May.
48. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2016. "The World Is Not Enough! Small Open Economies and Regional Dependence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 118(1), pages 168-195, January.
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49. Bettendorf, Timo, 2017. "Investigating Global Imbalances: Empirical evidence from a GVAR approach," Economic Modelling, Elsevier, vol. 64(C), pages 201-210.
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50. Ibrahim Bakari Hassan & M. Azali & Lee Chin & Wan N.W. Azman-Saini, 2017. "Macroeconomic linkages and international shock transmissions in East Asia: A global vector autoregressive approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1370772-137, January.
51. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2014. "Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach," Journal of Economics and Business, Elsevier, vol. 76(C), pages 115-132.
52. Gross, Marco & Henry, Jerome & Semmler, Willi, 2018. "Destabilizing Effects Of Bank Overleveraging On Real Activity—An Analysis Based On A Threshold Mcs-Gvar," Macroeconomic Dynamics, Cambridge University Press, vol. 22(7), pages 1750-1768, October.
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53. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt dynamics in Europe: A Network General Equilibrium GVAR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 175-202.
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54. Buesa, Alejandro & De Quinto, Alicia & Población, Javier, 2022. "Risky mortgages, credit shocks and cross-border spillovers," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 717-733.
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55. Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, vol. 177(2), pages 343-356.
56. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization Institute Working Papers 136, Federal Reserve Bank of Dallas.
57. Joscha Beckmann & Robert Czudaj, 2017. "Effective Exchange Rates, Current Accounts and Global Imbalances," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 500-533, August.
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60. El-Shagi, Makram & Tochkov, Kiril, 2022. "Shadow of the colossus: Euro area spillovers and monetary policy in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 120(C).
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61. Konstantakis, Konstantinos & Michaelides, Panayotis G., 2014. "Combining Input-Output (IO) analysis with Global Vector Autoregressive (GVAR) modeling: Evidence for the USA (1992-2006)," MPRA Paper 67111, University Library of Munich, Germany.
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64. Anupam Nanda & Jia-Huey Yeh, 2016. "International Transmission Mechanisms and Contagion in Housing Markets," The World Economy, Wiley Blackwell, vol. 39(7), pages 1005-1024, July.
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66. Mihail Petkovski & Jordan Kjosevski & Kiril Jovanovski, 2018. "Empirical Panel Analysis of Non-performing Loans in the Czech Republic. What are their Determinants and How Strong is their Impact on the Real Economy?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(5), pages 460-490, October.
67. Annari De Waal & Reneé van Eyden, 2016. "The Impact of Economic Shocks in the Rest of the World on South Africa: Evidence from a Global VAR," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(3), pages 557-573, March.
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70. Hail Park & Yongcheol Shin, 2014. "Mapping Korea's International Linkages using Generalised Connectedness Measures," Working Papers 2014-16, Economic Research Institute, Bank of Korea.
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