Arbeitspapier
Regime-switching global vector autoregressive models
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1569
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
General Aggregative Models: Forecasting and Simulation: Models and Applications
Financial Institutions and Services: General
- Subject
-
forecasting and simulation
Global macroeconometric modeling
nonlinear modeling
Regime switching
- Event
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Geistige Schöpfung
- (who)
-
Binder, Michael
Gross, Marco
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Binder, Michael
- Gross, Marco
- European Central Bank (ECB)
Time of origin
- 2013
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