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Citations for "Global and National Macroeconometric Modelling: A Long-Run Structural Approach"

by Garratt, Anthony & Lee, Kevin & Pesaran, M. Hashem & Shin, Yongcheol

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  1. Kamal, Mona, 2011. "Bayesian Estimation of Dynamic Stochastic General Equilibrium Model Using UK Data," MPRA Paper 28988, University Library of Munich, Germany.
  2. Kevin Lee & Nilss Olekalns & Kalvinder Shields, 2008. "Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available," Discussion Papers in Economics 08/17, Department of Economics, University of Leicester.
  3. 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).
  4. Paul Gaggl & Serguei Kaniovski & Klaus Prettner & Thomas Url, 2009. "The short and long-run interdependencies between the Eurozone and the USA," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(2), pages 209-227, May.
  5. Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research.
  6. Granger, Clive W.J. & Jeon, Yongil, 2007. "Evaluation of global models," Economic Modelling, Elsevier, vol. 24(6), pages 980-989, November.
  7. Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
  8. Galesi, Alessandro & Lombardi, Marco J., 2009. "External shocks and international inflation linkages: a global VAR analysis," Working Paper Series 1062, European Central Bank.
  9. Majid M. Al-Sadoon, 2015. "Testing subspace Granger causality," Economics Working Papers 1495, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  11. Hondroyiannis, George & Papaoikonomou, Dimitrios, 2015. "When does it pay to tax? Evidence from state-dependent fiscal multipliers in the euro area," Economic Modelling, Elsevier, vol. 48(C), pages 116-128.
  12. Esfahani, Hadi Salehi & Mohaddes, Kamiar & Pesaran, M. Hashem, 2013. "Oil exports and the Iranian economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 221-237.
  13. Comunale, Mariarosaria, 2017. "A panel VAR analysis of macro-financial imbalances in the EU," Working Paper Series 2026, European Central Bank.
  14. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
  15. Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009. "Modelling global trade flows: results from a GVAR model," Working Paper Series 1087, European Central Bank.
  16. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
  17. Girish Bahal & Mehdi Raissi & Volodymyr Tulin, 2015. "Crowding-Out or Crowding-In? Public and Private Investment in India," IMF Working Papers 15/264, International Monetary Fund.
  18. Kamiar Mohaddes & Oral H. Williams, 2013. "Inflation Differentials In The Gcc: Does The Oil Cycle Matter?," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-23.
  19. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
  20. Anthony Garratt & Kevin Lee & Emi Mise & Kalvinder Shields, 2006. "Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty," Birkbeck Working Papers in Economics and Finance 0618, Birkbeck, Department of Economics, Mathematics & Statistics.
  21. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2013. "Euro area money demand and international portfolio allocation: A contribution to assessing risks to price stability," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 377-404.
  22. Alberto Alesina & Carlo Ambrogio Favero & Francesco Giavazzi, 2012. "The output effect of fiscal consolidations," Working Papers 450, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  23. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, 02.
  24. Calice, Giovanni & Mio, RongHui & Štěrba, Filip & Vašíček, Bořek, 2015. "Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 174-189.
  25. Alessandro Rebucci & Ambrogio Cesa-Bianchi & M. Hashem Pesaran & TengTeng Xu, 2012. "China's Emergence in the World Economy and Business Cycles in Latin America," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Spring 20), pages 1-75, January.
  26. Povilas Lastauskas & Julius Stakenas, 2015. "Global Perspective on Structural Labour Market Reforms in Europe," Cambridge Working Papers in Economics 1534, Faculty of Economics, University of Cambridge.
  27. 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.
  28. Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2014. "An Empirical Growth Model For Major Oil Exporters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 1-21, 01.
  29. Pedro Bação & António Portugal Duarte & Diana Machado, 2016. "Exchange Rates, the Competitiveness of Nations and Unemployment," GEMF Working Papers 2016-14, GEMF, Faculty of Economics, University of Coimbra.
  30. Klaus Prettner & Robert Kunst, 2012. "The dynamic interrelations between unequal neighbors: an Austro-German case study," Empirical Economics, Springer, vol. 43(2), pages 741-761, October.
  31. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper 136, Federal Reserve Bank of Dallas.
  32. James Cloyne & Ryland Thomas & Alex Tuckett & Samuel Wills, 2015. "An Empirical Sectoral Model of Unconventional Monetary Policy: The Impact of QE," Manchester School, University of Manchester, vol. 83, pages 51-82, 09.
  33. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute for the Study of Labor (IZA).
  34. Chudik, Alexander & Pesaran, M. Hashem, 2011. "Infinite-dimensional VARs and factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
  35. Reinhold Heinlein & Hans-Martin Krolzig, 2013. "Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach," Studies in Economics 1321, School of Economics, University of Kent.
  36. Wallis, Kenneth F., 2008. "Macroeconomic modelling in central banks in Latin America," Documentos de Proyectos 196, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  37. Beyer, Andreas, 2009. "A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth," Working Paper Series 1111, European Central Bank.
  38. Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "Oil prices and global factor macroeconomic variables," Energy Economics, Elsevier, vol. 59(C), pages 198-212.
  39. Tan, Madeleine Sui-Lay, 2016. "Policy coordination among the ASEAN-5: A global VAR analysis," Journal of Asian Economics, Elsevier, vol. 44(C), pages 20-40.
  40. Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2007. "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," CESifo Working Paper Series 2116, CESifo Group Munich.
  41. Nilss Olekalns & Kalvinder Shields, 2008. "Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available," Department of Economics - Working Papers Series 1040, The University of Melbourne.
  42. 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.
  43. Catherine Prettner & Klaus Prettner, 2012. " After Two Decades of Integration: How Interdependent are Eastern European Economies and the Euro Area?," Department of Economics Working Papers wuwp138, Vienna University of Economics and Business, Department of Economics.
  44. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  45. 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, Kiel Institute for the World Economy (IfW), vol. 1, pages 1-20.
  46. Taya Dumrongrittikul & Heather Anderson & Farshid Vahid, 2014. "The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective," Monash Econometrics and Business Statistics Working Papers 23/14, Monash University, Department of Econometrics and Business Statistics.
  47. Katrin Assenmacher-Wesche, 2008. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 197-246, June.
  48. Jump, Robert & Mendieta-Muñoz, Ivan, 2016. "Wage Led Aggregate Demand in the United Kingdom," MPRA Paper 69630, University Library of Munich, Germany.
  49. Alejandro Ricci-Risquete & Julián Ramajo-Hernández, 2015. "Macroeconomic effects of fiscal policy in the European Union: a GVAR model," Empirical Economics, Springer, vol. 48(4), pages 1587-1617, June.
  50. Ihle, Rico & Brümmer, Bernhard & Thompson, Stanley R., 2009. "Spatial Market Integration in the EU Beef and Veal Sector: Policy Decoupling and Export Bans," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187443, German Association of Agricultural Economists (GEWISOLA).
  51. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).
  52. 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.
  53. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
  54. Matthew Greenwood-Nimmo & Yongcheol Shin, 2010. "Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis," IMK Working Paper 16-2010, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  55. Cloyne, James & Thomas, Ryland & Tuckett, Alex & Wills, Samuel, 2015. "A sectoral framework for analyzing money, credit and unconventional monetary policy," Bank of England working papers 556, Bank of England.
  56. Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
  57. Keppel, Catherine & Prettner, Klaus, 2015. "How interdependent are Eastern European economies and the Euro area?," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 18-31.
  58. 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.
  59. Anthony Garratt & Kevin Lee & Kalvinder Shields, 2014. "Forecasting Global Recessions in a GVAR Model of Actual and Expected Output in the G7," Discussion Papers 2014/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  60. Pesaran, M.H. & Smith, R.P & Yamagata. T. & Hvozdyk, L., 2006. "Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures," Cambridge Working Papers in Economics 0634, Faculty of Economics, University of Cambridge.
  61. Fadejeva, Ludmila & Feldkircher, Martin & Reininger, Thomas, 2017. "International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 1-25.
  62. Chan, Tze-Haw, 2014. "Trade Balance, Foreign Exchange and Macroeconomic Impacts: An Empirical Assessment for China and Malaysia," MPRA Paper 59539, University Library of Munich, Germany, revised 10 Aug 2014.
  63. 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.
  64. Alesina, Alberto & Favero, Carlo & Giavazzi, Francesco, 2015. "The output effect of fiscal consolidation plans," Journal of International Economics, Elsevier, vol. 96(S1), pages 19-42.
  65. Feldkircher, Martin & Korhonen, Iikka, 2012. "The rise of China and its implications for emerging markets : Evidence from a GVAR model," BOFIT Discussion Papers 20/2012, Bank of Finland, Institute for Economies in Transition.
  66. Pagan, A. & Pesaran, M.H., 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," Cambridge Working Papers in Economics 0662, Faculty of Economics, University of Cambridge.
  67. 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.
  68. Dreger, Christian & Zhang, Yanqun, 2014. "Does the economic integration of China affect growth and inflation in industrial countries?," Economic Modelling, Elsevier, vol. 38(C), pages 184-189.
  69. Garratt, Anthony & Lee, Kevin & Mise, Emi & Shields, Kalvinder, 2009. "Real time representation of the UK output gap in the presence of model uncertainty," International Journal of Forecasting, Elsevier, vol. 25(1), pages 81-102.
  70. Florian Martin & Jesús Crespo Cuaresma, 2017. "Weighting schemes in global VAR modelling: a forecasting exercise," Letters in Spatial and Resource Sciences, Springer, vol. 10(1), pages 45-56, March.
  71. Gustavo A. Sánchez, 2013. "Economic Outlook: An application with cointegrating VAR models and probability forecasting," Mexican Stata Users' Group Meetings 2013 11, Stata Users Group.
  72. M. Hashem Pesaran & Ron Smith, 2006. "Macroeconometric Modelling with a Global Perspective," IEPR Working Papers 06.43, Institute of Economic Policy Research (IEPR).
  73. 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.
  74. Dincer Dedeoglu & Huseyin Kaya, 2015. "Model Belirsizligi Altinda Doviz Kurunun Enflasyona Etkisi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 15(2), pages 79-93.
  75. Alex Miksjuk & Sam Ouliaris & Mikhail Pranovich, 2015. "The Game of Anchors; Studying the Causes of Currency Crises in Belarus," IMF Working Papers 15/281, .
  76. Matthew Greenwood-Nimmo & Artur Tarassow, 2013. "A Macroeconometric Assessment of Minsky’s Financial Instability Hypothesis," Macroeconomics and Finance Series 201306, Hamburg University, Department Wirtschaft und Politik.
  77. Chan, Tze-Haw, 2012. "Assessing the international parity conditions and transmission mechanism for Malaysia-China," MPRA Paper 38930, University Library of Munich, Germany.
  78. repec:kap:iaecre:v:18:y:2012:i:3:p:247-258 is not listed on IDEAS
  79. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, vol. 37(C), pages 32-40.
  80. Favero, Carlo A. & Karamysheva, Madina, 2015. "What Do We Know About Fiscal Multipliers?," CEPR Discussion Papers 10986, C.E.P.R. Discussion Papers.
  81. Marcel Garz & Artur Tarassow, 2011. "Does an expanding low-pay sector decrease structural unemployment? Evidence from Germany," Macroeconomics and Finance Series 201104, Hamburg University, Department Wirtschaft und Politik.
  82. 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.
  83. Ricci-Risquete, Alejandro & Ramajo, Julián, 2015. "The effects of fiscal policy on the Spanish economy: Keynesian or non-Keynesian behavior?," Journal of Policy Modeling, Elsevier, vol. 37(6), pages 1019-1048.
  84. Annari De Waal & Reneé Van 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.
  85. Kozicki, Sharon, 2012. "Macro has progressed," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 23-28.
  86. Gustavo A. Sánchez, 2013. "Forecasting tools in Stata," Mexican Stata Users' Group Meetings 2013 06, Stata Users Group.
  87. Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2014. "International Transmission of Credit Shocks: Evidence from Global Vector Autoregression Model," Working Papers 2014/05, Latvijas Banka.
  88. Garratt, Anthony & Lee, Kevin, 2010. "Investing under model uncertainty: Decision based evaluation of exchange rate forecasts in the US, UK and Japan," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 403-422, April.
  89. Bårdsen, Gunnar & den Reijer, Ard & Jonasson, Patrik & Nymoen, Ragnar, 2012. "MOSES: Model for studying the economy of Sweden," Economic Modelling, Elsevier, vol. 29(6), pages 2566-2582.
  90. 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.
  91. Ingrid Größl & Artur Tarassow, 2015. "A Microfounded Model of Money Demand Under Uncertainty, and its Empirical Validation Using Cointegration and Rolling-Window Dynamic Multiplier Analysis," Macroeconomics and Finance Series 201504, Hamburg University, Department Wirtschaft und Politik.
  92. Jana Juriová, 2015. "The role of foreign sentiment in small open economy," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(2), pages 57-68, June.
  93. Bussière, Matthieu & Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2010. "Methodological advances in the assessment of equilibrium exchange rates," Working Paper Series 1151, European Central Bank.
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