global VAR

Housing Cycles and Macroeconomic Fluctuations: A Global Perspective

JEL codes: 
C32, E32, F40
Keywords: 
global VAR, Housing Cycles, Identification of shocks, Emerging Market Economies, Boom and Bust Cycles
Version Date: 
Aug 2012
Author/s: 
Ambrogio Cesa-Bianchi
Abstract: 

This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies.

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How Do Credit Supply Shocks Propagate Internationally? A GVAR approach

JEL codes: 
F15, F36, F41
Keywords: 
international business cycles, sign restrictions, credit supply shocks, global VAR, trade and financial integration
Version Date: 
Dec 2011
Author/s: 
Sandra Eickmeier
Abstract: 

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009.

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