Modeling Global Macroeconomic and Financial Interactions
Some of the major research topics to be undertaken by CAFE attempt to address many aspects of macroeconomic and financial developments that have been significantly influenced by increased globalization and financial market integration, particularly over the past two decades.
One area of interest is the analysis of financial crises and the mechanisms underlying them. Contagion between different markets and countries and herding behavior is based on the idea that economic agents, e.g., investors sometimes have incentives to imitate each other in their decision making and these mass movements result in major fluctuations and crises in speculative markets. Another major research project focuses on the macroeconomic consequences of globalization and openness, which is changing the linkages and transmission mechanisms between different markets, countries and macroeconomic policies. The newly developed global model (known as the GVAR) will be used for these purposes. This is a relatively novel approach to global macroeconomic modelling that combines time series, panel data, and factor analysis techniques to address a wide set of issues and problems.
The GVAR approach has so far been used to study the transmission of shocks to US real equity prices, short term interest rates and oil prices on the euro area. It has been employed in forecasting economic and financial variables across a large number of countries in the global economy, in the analysis of the impact of the credit crunch in the US on advanced and emerging market economies, and the effects of the emergence of China in the global economy on Latin America.
The forthcoming book, The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (by Filippo di Mauro and Hashem Pesaran) provides further applications of the GVAR model to the global economy.
GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis
Computer codes and data for running the GVAR model for forecasting and shock scenario analysis can be downloaded from the following site:
Computer codes and data for running the GVAR model for forecasting and shock scenario analysis
- Center for Applied Financial Economics (CAFE)
- University of Southern California
- 3620 South Vermont Avenue, KAP 324A
- Los Angeles, CA 90089
- Phone: (213) 740 - 6017
- Email: email@example.com