Paper #920

Título:

Estimating multi-country VAR models

Autores:

Fabio Canova y Matteo Ciccarelli

Fecha:

Junio 2002

Resumen:

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian: a prior flexibly reduces the dimensionality of the model and puts structure on the time variations; MCMC methods are used to obtain posterior distributions; and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of MCMC routine. The transmission of certain shocks across countries is analyzed.

Palabras clave:

Multi country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission

Códigos JEL:

C3, C5, E5

Área de investigación:

Macroeconomía y Economía Internacional

Publicado en:

International Economic Review, 50(3), 2009, 929-961

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