vector autoregression

International Business Cycle Spillovers

JEL codes: 
C32, E32, F41
Version Date: 
Jul 2010
Author/s: 
Abstract: 

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic aggregates across countries. I have several important results.

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On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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