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Regime-switching global vector autoregressive models

Listed author(s):
  • Binder, Michael
  • Gross, Marco
Registered author(s):

    The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are conditional upon a regime-constellation across countries. Coupling the RS and the GVAR methodology improves out-of-sample forecast accuracy significantly in an application to real GDP, price inflation, and stock prices. JEL Classification: C32, E17, G20

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    File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1569.pdf
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    Paper provided by European Central Bank in its series Working Paper Series with number 1569.

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    Date of creation: Aug 2013
    Handle: RePEc:ecb:ecbwps:20131569
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