【ECON201224】

宏觀經濟學研討會

（總第129期）

【時間】2012年12月25日（周二）12：15－13：45

【地點】明主0409教室

【主講】劉 凱 劍橋大學經濟系博士生

【主題】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】陳彥斌 教授

人大宏觀經濟學研討會（Macro Workshop）旨在追蹤宏觀經濟學國際最新進展，倡導構建符合國情的動態優化模型（尤其是Bewley模型）并使用計算機模擬研究中國經濟改革與發展的重大問題。

聯系人：陳偉澤　　E_mail: sysu2006vc@126.com

更多講座信息歡迎訪問se.ruc.edu.cn，www.yanjiuyuan.com.cn

經濟學院

中國經濟改革與發展研究院