Chapter

Global modelling and other applications

Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin

in Global and National Macroeconometric Modelling

Published in print August 2006 | ISBN: 9780199296859
Published online September 2006 | e-ISBN: 9780191603853 | DOI: http://dx.doi.org/10.1093/0199296855.003.0012
 Global modelling and other applications

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This chapter describes some recent extensions of the model and some other applications. These include an introduction to the development of a model of the global macroeconomy using the long-run structural modelling approach; the application of the global model to the analysis of credit risk; the description of a monthly version of the UK model; and an analysis of financial distress in the UK financial sector.

Keywords: global VAR; credit risk; monthly model; financial distress

Chapter.  6949 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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