Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
利用全球误差修正宏观计量模型刻画地区间相互依赖
Financial institutions are ultimately exposed to macroeconomic fluctuations in the global economy. This article proposes and builds a compact global model capable of generating forecasts for a core set of macroeconomic factors (or variables) across a number of countries. The model explicitly allows for the interdependencies that exist between national and international factors. Individual region-specific vector error-correcting models are estimated in which the domestic…