Theory and Practice of GVAR Modeling
56 Pages Posted: 12 May 2014
Date Written: May 8, 2014
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling, examining both the theoretical foundations of the approach and its numerous empirical applications. We provide a synthesis of existing literature and highlight areas for future research.
Keywords: Global VAR, global macroeconometric modelling, global interdependencies, policy simulations
JEL Classification: C32, E17
Suggested Citation: Suggested Citation