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Theory and Practice of GVAR Modeling


Type

Working Paper

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Authors

Chudik, A. 
Pesaran, M. H. 

Abstract

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.

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Keywords

global interdependencies, policy simulations

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Publisher

Faculty of Economics

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