A VECX* Model of the Swiss Economy

62 Pages Posted: 27 Mar 2008

See all articles by Katrin Assenmacher

Katrin Assenmacher

Swiss National Bank

M. Hashem Pesaran

University of Southern California - Department of Economics

Date Written: February 1, 2008


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.

Keywords: Long-run structural vector autoregression

JEL Classification: C53, C32

Suggested Citation

Assenmacher, Katrin and Pesaran, M. Hashem, A VECX* Model of the Swiss Economy (February 1, 2008). IEPR Working Paper No. 08.5, CESifo Working Paper Series No. 2281, Available at SSRN: https://ssrn.com/abstract=1112545

Katrin Assenmacher (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich

M. Hashem Pesaran

University of Southern California - Department of Economics ( email )

3620 South Vermont Ave. Kaprielian (KAP) Hall 300
Los Angeles, CA 90089
United States

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