【ECON201224】

宏观经济学研讨会

（总第129期）

【时间】2012年12月25日（周二）12：15－13：45

【地点】明主0409教室

【主讲】刘 凯 剑桥大学经济系博士生

【主题】Exploring the International Linkages of the Euro AREA: A Global VAR Analysis (written by Dees, di Mauro, Pesaran, and Smith, The Journal of Applied Econometrics, 2007, Vol. 22,)

【摘要】This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979-2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Using average pair-wise cross-section error correlations, the GVAR approach is shown to

be quite effective in dealing with the common factor interdependencies and international co-movements of business cycles.

【主持】陈彦斌 教授

人大宏观经济学研讨会（Macro Workshop）旨在追踪宏观经济学国际最新进展，倡导构建符合国情的动态优化模型（尤其是Bewley模型）并使用计算机模拟研究中国经济改革与发展的重大问题。

联系人：陈伟泽　　E_mail: sysu2006vc@126.com

更多讲座信息欢迎访问se.ruc.edu.cn，www.yanjiuyuan.com.cn

经济学院

中国经济改革与发展研究院