This paper investigates international macroeconomic and financial linkages through the estimation of a GVAR model on quarterly data for 20 countries/regions, with a particular focus on 11 Euro Area member countries. We impose theoretical cointegrating restrictions on every country-specific VECX* model and introduce a long-run relation between the Euro Area sovereign spreads and the debt-to-GDP ratio differentials with respect to Germany. Besides impulse response analysis, a calibration procedure is presented, which aims at aligning the forecasts to a set of target values, while preserving the dynamic properties of the estimated GVAR, and imposes constraints on the permanent components determining the convergence values of the variables.
Barbanti Brodano, M., Cocco, F., Moramarco, G. (2014). Global Economy, Sovereign Spreads and Public Debt in the Euro Area: a GVAR Approach. Prometeia.
Global Economy, Sovereign Spreads and Public Debt in the Euro Area: a GVAR Approach
BARBANTI BRODANO, MARCO;MORAMARCO, GRAZIANO
2014
Abstract
This paper investigates international macroeconomic and financial linkages through the estimation of a GVAR model on quarterly data for 20 countries/regions, with a particular focus on 11 Euro Area member countries. We impose theoretical cointegrating restrictions on every country-specific VECX* model and introduce a long-run relation between the Euro Area sovereign spreads and the debt-to-GDP ratio differentials with respect to Germany. Besides impulse response analysis, a calibration procedure is presented, which aims at aligning the forecasts to a set of target values, while preserving the dynamic properties of the estimated GVAR, and imposes constraints on the permanent components determining the convergence values of the variables.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.