GVAR Handbook

The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. <p/>The rich yet manageable specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011 the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience as well as more complex analysis by the expert public. <p/>The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.<br>