The GVAR is a Global Vector Auto-Regression model of the global economy. Its main feature is to take into account the financial and real linkages connecting the major world economies. This book provides an overview of the GVAR and its applications: forecasting, finance issues, and regional studies.

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. 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. 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.

1: Introduction, Filippo di Mauro and M. Hashem Pesaran 2: The Basic GVAR DdPS Model, Filippo di Mauro and L. Vanessa Smith INTERNATIONAL TRANSMISSION AND FORECASTING 3: Global Recessions and Output Interdependencies in a GVAR Model of Actual and Expected Output in the G7, Anthony Garratt, Kevin Lee, and Kalvinder Shields 4: The GVAR Approach to Structural Modelling, Ron P. Smith 5: External Shocks and International Inflation Linkages, Alessandro Galesi and Marco J. Lombardi 6: International Business Cycles and the Role of Financial Markets, Sandra Eickmeier and Tim Ng 7: Using Global VAR Models for Scenario-based Forecasting and Policy Analysis, Matthew Greenwood-Nimmo, Viet Hoang Nguyen, and Yongcheol Shin 8: Short and medium-term forecasting using 'pooling' techniques, L. Vanessa Smith FINANCE APPLICATIONS 9: Nowcasting Quarterly Euro Area GDP Growth using a Global VAR Model, Silvia Lui and James Mitchell 10: Macroprudential Applications of the GVAR, Alexander Al-Haschimi and Stéphane Dees 11: Modelling Sovereign Bond Spreads in the Euro Area: A Non-linear Global VAR Model, Carlo A. Favero 12: The International Spillover of Fiscal Spending on Financial Variables, C. Nickel and I. Vansteenkist REGIONAL APPLICATIONS 13: China's Emergence in the World Economy and Business Cycles in Latin America, Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, and TengTeng Xu 14: Does One Size Fit All? Modelling Macroeconomic Linkages in the West African Economic and Monetary Union, David Fielding, Kevin Lee, and Kalvinder Shields 15: Competitiveness, External Imbalances, and Economic Linkages in the Euro Area, Stéphane Dees 16: Forecasting the Swiss Economy with a Small GVAR Model, Katrin Assenmacher 17: Regional Financial Spillovers Across Europe, Alessandro Galesi and Silvia Sgherri 18: Conclusion, Filippo di Mauro and M. Hashem Pesaran